k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA

DOI10.1017/S026646661100079XzbMath1419.62072MaRDI QIDQ2909248

Ba Chu, David T. Jacho-Chávez

Publication date: 30 August 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s026646661100079x

Mathematics Subject Classification ID

62G07: Density estimation

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

Related Items

Semiparametric estimation of moment condition models with weakly dependent data, Symmetrized Multivariatek-NN Estimators, Testing for risk aversion in first-price sealed-bid auctions, Sheep in wolf's clothing: using the least squares criterion for quantile estimation, Functionals of order statistics and their multivariate concomitants with application to semiparametric estimation by nearest neighbours, Consistent model specification tests based on \(k\)-nearest-neighbor estimation method

Cites Work

• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Unified approach to testing functional hypotheses in semiparametric contexts
• A simple ordered data estimator for inverse density weighted expectations
• Endogenous selection or treatment model estimation
• Nonparametric function estimation for time series by local average estimators
• Conditional independence, conditional mixing and conditional association
• Estimating features of a distribution from binomial data
• Asymptotic distribution of robust estimators for nonparametric models from mixing processes
• Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
• Weak convergence of \(k\)-NN density and regression estimators with varying \(k\) and applications
• Consistency of a nonparametric estimate of a density function for dependent variables
• Nonparametric function estimation involving time series
• Nearest neighbor estimators for random fields
• Multivariate k-nearest neighbor density estimates
• Strong consistency of nearest neighbor kernel regression estimation for stationary dependent samples
• Convergence rates and asymptotic normality for series estimators
• Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables
• Moment bounds for mixing random variables useful in nonparametric function estimation
• Asymptotic distribution of smoothers based on local means and local medians under dependence
• Semiparametric tests of conditional moment restrictions under weak or partial identification
• WEIGHTED AND TWO-STAGE LEAST SQUARES ESTIMATION OF SEMIPARAMETRIC TRUNCATED REGRESSION MODELS
• A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
• Remarks on Some Nonparametric Estimates of a Density Function
• Efficient Instrumental Variables Estimation of Nonlinear Models
• Moment inequalities for mixing sequences of random variables
• Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Matching As An Econometric Evaluation Estimator
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Semiparametric Specification Testing of Non-nested Econometric Models
• Automatic Lag Selection in Covariance Matrix Estimation
• Nearest-neighbour estimation of semiparametric regression models
• Root-n-consistent semiparametric estimation of partially linear models based on k-nn method
• Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors
• Time Series Regression with a Unit Root
• NEAREST‐NEIGHBOUR METHODS FOR TIME SERIES ANALYSIS
• Invariance principles for dependent variables
• Nonparametric Estimation of Exact Consumers Surplus and Deadweight Loss
• Strong laws for 𝐿- and 𝑢-statistics
• OPTIMAL BANDWIDTH CHOICE FOR ESTIMATION OF INVERSE CONDITIONAL–DENSITY–WEIGHTED EXPECTATIONS
• A Nonparametric Estimate of a Multivariate Density Function
• Bias-Corrected Matching Estimators for Average Treatment Effects
• Large Sample Properties of Matching Estimators for Average Treatment Effects
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• EFFICIENT SEMIPARAMETRIC SEEMINGLY UNRELATED QUANTILE REGRESSION ESTIMATION
• Semiparametric Binary Choice Panel Data Models Without Strictly Exogeneous Regressors
• AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATION
• A simplified approach to computing efficiency bounds in semiparametric models