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A bootstrap bandwidth selector for local polynomial fitting

Siegfried Heiler and Yuanhua Feng

No 344, Discussion Papers, Series II from University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy"

Abstract: A bandwidth selector for local polynomial fitting is proposed following the bootstrap idea, which is just a double smoothing bandwidth selector with a bootstrap variance estimator, defined as the mean squared residuals of a pilot estimate. No simulated resampling is required in this context, since the needed expressions can be calculated explicitly. A simple, iterative data-driven procedure is proposed to estimate the variance and the bandwidth. A simulation study shows that this bandwidth selector performs very well, and it performs uniformly better than a double smoothing bandwidth selector using a difference-based variance estimator. The above mentioned bootstrap variance estimator is also a side result of this paper. It performs clearly better than the difference-based one. In a test example, the averaged squared error of this estimator in 500 replications achieved the theoretical lower bound already with a sample size of only n = 200.

Keywords: Local polynomial fitting; Bandwidth selection; Bootstrap; Double smoothing; Nonparametric variance estimation (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (5)

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