Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms

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Tác giả: Byunghoon Kang

Ngôn ngữ: eng

Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions

Thông tin xuất bản: 2019

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 163414

Nonparametric series regression often involves specification search over the tuning parameter, i.e., evaluating estimates and confidence intervals with a different number of series terms. This paper develops pointwise and uniform inferences for conditional mean functions in nonparametric series estimations that are uniform in the number of series terms. As a result, this paper constructs confidence intervals and confidence bands with possibly data-dependent series terms that have valid asymptotic coverage probabilities. This paper also considers a partially linear model setup and develops inference methods for the parametric part uniform in the number of series terms. The finite sample performance of the proposed methods is investigated in various simulation setups as well as in an illustrative example, i.e., the nonparametric estimation of the wage elasticity of the expected labor supply from Blomquist and Newey (2002).
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