Publication: Nonparametric Estimation of Regression Functions with Discrete Regressors

All || By Area || By Year

Title	Nonparametric Estimation of Regression Functions with Discrete Regressors
Authors/Editors*	Qi Li, Deshang Ouyang, Jeffrey S. Racine
Where published*	Econometric Theory
How published*	Journal
Year*	2007
Volume	-1
Number	-1
Pages
Publisher
Keywords
Link
Abstract	We consider the problem of estimating a nonparametric regression model containing categorical regressors only. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for relevant regressors, and show that there is a high probability that the smoothing parameters for irrelevant regressors converge to their upper bound values thereby smoothing out the irrelevant regressors. A small scale simulation study shows that the proposed cross-validation based estimator performs well in finite sample settings. Two illustrative examples demonstrate that our nonparametric estimator is capable of producing better out-of-sample predictions than those obtained from popular parametric methods.