Chen, Xiaohong, Linton, Oliver and Robinson, Peter (2001) The estimation of conditional densities. Econometrics; EM/2001/415, EM/01/415. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and marginal density estimates. We point out the different implications of leading choices of bandwidths in numerator and denominator for the ability of the estimate to integrate to one and to have finite moments. Again bearing in mind different bandwidth possibilities, we discuss asymptotic theory for the estimate: asymptotic bias and variance are calculated under various conditions, an extended discussion of bandwidth choice is included, and a central limit theorem is given.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2001 The Authors|
|Uncontrolled Keywords:||Conditional density estimation; serial dependence; bandwidth choice|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models|
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Departments > Economics
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