Library Header Image
LSE Research Online LSE Library Services

Smoothness: bias and effciency of nonparametric kernel estimators

Kotlyarova, Yulia, Schafgans, Marcia M. A. and Zinde-Walsh, Victoria (2016) Smoothness: bias and effciency of nonparametric kernel estimators. In: Gonzalez-Rivera, Gloria, Hill, Carter R. and Lee, Tae-Hwy, (eds.) Essays in Honor of Aman Ullah. Advances in Econometrics. Emerald Group Publishing. ISBN 9781785607875

[img] PDF - Accepted Version
Registered users only

Download (614kB) | Request a copy


For kernel-based estimators, smoothness conditions ensure that the asymptotic rate at which the bias goes to zero is determined by the kernel order. In a finite sample, the leading term in the expansion of the bias may provide a poor approximation. We explore the relation between smoothness and bias and provide estimators for the degree of the smoothness and the bias. We demonstrate the existence of a linear combination of estimators whose trace of the asymptotic mean squared error is reduced relative to the individual estimator at the optimal bandwidth. We examine the finite-sample performance of a combined estimator that minimizes the trace of the MSE of a linear combination of individual kernel estimators for a multimodal density. The combined estimator provides a robust alternative to individual estimators that protects against uncertainty about the degree of smoothness.

Item Type: Book Section
Official URL:
Additional Information: © 2016 Emerald Group Publishing Limited
Divisions: Economics
Subjects: H Social Sciences > HA Statistics
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Date Deposited: 19 May 2016 10:49
Last Modified: 16 May 2024 05:44

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics