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Rates of expansions for functional estimators

Kotlyarova, Yulia, Schafgans, Marcia M.A. and Zinde-Walsh, Victoria (2021) Rates of expansions for functional estimators. Journal of Quantitative Economics, 19. pp. 121-139. ISSN 0971-1554

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Identification Number: 10.1007/s40953-021-00266-8

Abstract

In this paper, we summarize results on convergence rates of various kernel based non- and semiparametric estimators, focusing on the impact of insufficient distributional smoothness, possibly unknown smoothness and even non-existence of density. In the presence of a possible lack of smoothness and the uncertainty about smoothness, methods of safeguarding against this uncertainty are surveyed with emphasis on nonconvex model averaging. This approach can be implemented via a combined estimator that selects weights based on minimizing the asymptotic mean squared error. In order to evaluate the finite sample performance of these and similar estimators we argue that it is important to account for possible lack of smoothness.

Item Type: Article
Official URL: https://www.springer.com/journal/40953
Additional Information: © 2021 The Author(s)
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
H Social Sciences > HC Economic History and Conditions
Date Deposited: 14 Jan 2022 11:57
Last Modified: 18 Nov 2022 00:00
URI: http://eprints.lse.ac.uk/id/eprint/113436

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