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Some new asymptotic results for series estimation under clustered dependence

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  • Hu, Pingbo
  • Peng, Xiuyuan
  • Hu, Xinglin

Abstract

This paper presents some asymptotic results for series estimation of a nonparametric regression model under clustered dependence. A mean square rate of convergence for the series regression estimator is established. Moreover, asymptotic pointwise normality is shown for the series estimator.

Suggested Citation

  • Hu, Pingbo & Peng, Xiuyuan & Hu, Xinglin, 2024. "Some new asymptotic results for series estimation under clustered dependence," Statistics & Probability Letters, Elsevier, vol. 213(C).
    • Handle: RePEc:eee:stapro:v:213:y:2024:i:c:s0167715224001251
    DOI: 10.1016/j.spl.2024.110156
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    References listed on IDEAS

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    1. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-345, March.
    2. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
    3. Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Kato, Kengo, 2015. "Some new asymptotic theory for least squares series: Pointwise and uniform results," Journal of Econometrics, Elsevier, vol. 186(2), pages 345-366.
    4. Hansen, Bruce E. & Lee, Seojeong, 2019. "Asymptotic theory for clustered samples," Journal of Econometrics, Elsevier, vol. 210(2), pages 268-290.
    5. Chen, Xiaohong, 2007. "Large Sample Sieve Estimation of Semi-Nonparametric Models," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 76, Elsevier.
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