Bandwidth Selection for Semiparametric Estimators Using the m-out-of-n Bootstrap

Chuan Goh

Working Papers from University of Toronto, Department of Economics

Abstract: This paper considers a class of semiparametric estimators that take the form of density-weighted averages. These arise naturally in a consideration of semiparametric methods for the estimation of index and sample-selection models involving preliminary kernel density estimates. The question considered in this paper is that of selecting the degree of smoothing to be used in computing the preliminary density estimate. This paper proposes a bootstrap method for estimating the mean squared error and associated optimal bandwidth. The particular bootstrap method suggested here involves using a resample of smaller size than the original sample. This method of bandwidth selection is presented with specific reference to the case of estimators of average densities, of density-weighted average derivatives and of density-weighted conditional covariances.

Keywords: bandwidth selection; density-weighted averages; bootstrap; m-out-of-n bootstrap; kernel density estimation (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2007-01-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:tor:tecipa:tecipa-274

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