Local partitioned regression

• 成果类型: Article
• 署名作者: Christopeit, N; Hoderlein, SGN
• 署名单位: University of Bonn; University of Mannheim
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/j.1468-0262.2006.00683.x
• 发表日期: 2006
• 页码: 787-817
• 关键词: nonparametric-estimation; ADDITIVE-MODEL; EQUATIONS

摘要

In this paper, we introduce a kernel-based estimation principle for nonparametric models named local partitioned regression (LPR). This principle is a nonparametric generalization of the familiar partition regression in linear models. It has several key advantages: First, it generates estimators for a very large class of semi- and nonparametric models. A number of examples that are particularly relevant for economic applications will be discussed in this paper. This class contains the additive, partially linear, and varying coefficient models as well as several other models that have not been discussed in the literature. Second, LPR-based estimators achieve optimality criteria: They have optimal speed of convergence and are oracle-efficient. Moreover, they are simple in structure, widely applicable, and computationally inexpensive. A Monte Carlo simulation highlights these advantages.