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1 Online-Ressource (24 Seiten)
Inhalt:
Consider the regression , where and the exact functional form of f is unknown, although we do know that f is homogeneous of known degree r. Using a local linear approach, we examine two ways of nonparametrically estimating f: (i) a “direct” approach and (ii) a “projection based” approach. We show that depending upon the nature of the conditional variance , one approach may be asymptotically better than the other. Results of a small simulation experiment are presented to support our findings.We thank Don Andrews and an anonymous referee for comments that greatly improved this paper. The first author thanks Professor Wolfgang Härdle for hospitality at the Institute of Statistics and Econometrics, Humboldt University, Berlin, where part of this research was carried out. Financial support to the first author from Sonderforschungsbereich 373 (“Quantifikation und Simulation Ökonomischer Prozesse”) and the NSF via grants SES-0111917 and SES-0214081 is also gratefully acknowledged.
Inhalt:
Peer Reviewed
Anmerkung:
This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.
In:
Cambridge : Cambridge Univ. Press, 19,04, Seiten 640-663
Sprache:
Englisch
DOI:
10.1017/S026646660319408X
URN:
urn:nbn:de:kobv:11-110-18452/28450-5
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