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Applied nonparametric methods

In: Handbook of Econometrics

Author

Listed:
  • Hardle, Wolfgang
  • Linton, Oliver
Abstract
We review different approaches to nonparametric density and regression estimation. Kernel estimators are motivated from local averaging and solving ill-posed problems. Kernel estimators are compared to k-NN estimators, orthogonal series and splines. Pointwise and uniform confidence bands are described, and the choice of smoothing parameter is discussed. Finally, the method is applied to nonparametric prediction of time series and to semiparametric estimation.

Suggested Citation

  • Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339, Elsevier.
    • Handle: RePEc:eee:ecochp:4-38
    as

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    as
    1. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," LIDAM Discussion Papers CORE 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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