A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

This paper explores a paradox discovered in recent work by Phillips and Su (2009). That paper gave an example in which nonparametric regression is consistent whereas parametric regression is inconsistent even when the true regression functional form is known and used in regression. This appears to b...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
bias-correction
endogeneity
Kernel regression
L_{2} regression
location shift
nonparametric IV
nonstationarity
paradox
spatial regression
structural estimation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1169
https://ink.library.smu.edu.sg/context/soe_research/article/2168/viewcontent/Paradox_of_Inconsistent_Parametric_2009_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1169
https://ink.library.smu.edu.sg/context/soe_research/article/2168/viewcontent/Paradox_of_Inconsistent_Parametric_2009_wp.pdf

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