Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator
Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be fur...
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sg-smu-ink.soe_research-24202020-01-16T00:47:47Z Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator SU, Liangjun ULLAH, Aman WANG, Yun Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be further improved. First, we extend MY’s estimator to the multivariate case, and also establish the asymptotic theorem for the slope estimators; second, we propose a more efficient two-step estimator for nonparametric regression function with general parametric error covariance, and develop the corresponding asymptotic theorems. Monte Carlo study shows the relative efficiency loss of MY’s estimator in comparison with our estimator in nonparametric regression with either AR(2) errors or heteroskedastic errors. Finally, in an empirical study we apply the proposed estimator to estimate the public capital productivity to illustrate its performance in a real data setting. 2013-10-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1421 info:doi/10.1007/s00181-012-0641-x https://ink.library.smu.edu.sg/context/soe_research/article/2420/viewcontent/NonparametricRegressionEfficientTwoStepEst_2013.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Covariance matrix Local linear estimation Productivity Relative efficiency Econometrics |
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Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be further improved. First, we extend MY’s estimator to the multivariate case, and also establish the asymptotic theorem for the slope estimators; second, we propose a more efficient two-step estimator for nonparametric regression function with general parametric error covariance, and develop the corresponding asymptotic theorems. Monte Carlo study shows the relative efficiency loss of MY’s estimator in comparison with our estimator in nonparametric regression with either AR(2) errors or heteroskedastic errors. Finally, in an empirical study we apply the proposed estimator to estimate the public capital productivity to illustrate its performance in a real data setting. |
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SU, Liangjun ULLAH, Aman WANG, Yun |
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SU, Liangjun ULLAH, Aman WANG, Yun |
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SU, Liangjun |
title |
Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator |
title_short |
Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator |
title_full |
Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator |
title_fullStr |
Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator |
title_full_unstemmed |
Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator |
title_sort |
nonparametric regression estimation with general parametric error covariance: a more efficient two-step estimator |
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Institutional Knowledge at Singapore Management University |
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2013 |
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https://ink.library.smu.edu.sg/soe_research/1421 https://ink.library.smu.edu.sg/context/soe_research/article/2420/viewcontent/NonparametricRegressionEfficientTwoStepEst_2013.pdf |
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