Consider a semiparametric model yi = xi' beta + g(ti )+ei; i = 1;2..., n, error ei are i.i.d. random variables from unknown distribution f(e). In this paper, we propose a nonlinear wavelet estimator ^f(e) of f(e) based on residuals ê =yi - ^yi here restriction of uniformly continuous on f(e) might beavoided. Following the way used in Hall et al (1995), we provide an asymptotic formula for the mean integrated squared error of ^ f(e), some numerical examples will be given in the end of the paper.
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Paper provided by University of Bonn, Germany in its series Discussion Paper Serie A with number
567.
Length: Date of creation: Dec 1997 Date of revision: Handle: RePEc:bon:bonsfa:567
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Find related papers by JEL classification: C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution