A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression

• 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
• Institution: Singapore Management University

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...