Asymptotic normality and consistency of semi-nonparametric regression estimators using an upwards \(F\) test truncation rule

DOI10.1016/0304-4076(91)90036-DzbMath0735.62038OpenAlexW2029288647MaRDI QIDQ1174639

Brian J. Eastwood

Publication date: 25 June 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90036-d

zbMATH Keywords

consistencyasymptotic normalitycritical valuesimulation studyconfidence interval coveragesemi-nonparametric regression estimatorsupwards F test

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

Related Items (9)

Nonparametric estimation of structural models for high-frequency currency market data ⋮ Estimating continuous-time stochastic volatility models of the short-term interest rate ⋮ Qualitative and asymptotic performance of SNP density estimators ⋮ Semi-nonparametric estimates of substitution elasticities ⋮ Revisiting the flexibility and regularity properties of the asymptotically ideal production model ⋮ On the asymptotic normality of Fourier flexible form estimates ⋮ A NOTE ON THE POLICY IMPLICATIONS OF USING DIVISIA CONSUMPTION AND MONETARY AGGREGATES ⋮ EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments ⋮ Semi-nonparametric cointegration testing

Uses Software

• IMSL Numerical Libraries
• nlmdl

Cites Work

• Bandwidth choice for nonparametric regression
• Unbiased determination of production technologies
• On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Some Comments on C P
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