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Nonparametric regression under alternative data environments

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  • Sam, Abdoul G.
  • Ker, Alan P.

Abstract

This manuscript proposes a nonparametric regression estimator which can accommodate two empirically relevant data environments. The first data environment assumes that at least one of the explanatory variables is discrete. In such an environment a "cell" approach which consists of partitioning the data and estimating a separate regression for each discrete cell has usually been employed. The second data environment assumes that one needs to estimate a set of conditional mean functions that belong to different experimental units. In both environments the proposed estimator attempts to reduce estimation error by incorporating extraneous data from the other experimental units (or cells) when estimating the conditional mean function for a given experimental unit. Consistency and asymptotic normality of the proposed estimator are established. Its computational simplicity and simulation results demonstrate a strong potential for empirical application.

Suggested Citation

  • Sam, Abdoul G. & Ker, Alan P., 2006. "Nonparametric regression under alternative data environments," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1037-1046, May.
  • Handle: RePEc:eee:stapro:v:76:y:2006:i:10:p:1037-1046
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    References listed on IDEAS

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    1. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    2. Glad, Ingrid K., 1998. "A note on unconditional properties of a parametrically guided Nadaraya-Watson estimator," Statistics & Probability Letters, Elsevier, vol. 37(1), pages 101-108, January.
    3. Racine, Jeff & Li, Qi, 2004. "Nonparametric estimation of regression functions with both categorical and continuous data," Journal of Econometrics, Elsevier, vol. 119(1), pages 99-130, March.
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    Cited by:

    1. Alan P. Ker & Abdoul G. Sam, 2018. "Semiparametric estimation of the link function in binary-choice single-index models," Computational Statistics, Springer, vol. 33(3), pages 1429-1455, September.
    2. Gracious M. Diiro & Abdoul G. Sam & David Kraybill, 2017. "Heterogeneous Effects of Maternal Labor Market Participation on the Nutritional Status of Children: Empirical Evidence from Rural India," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 10(3), pages 609-632, September.
    3. Shuying Shen & Abdoul G. Sam & Eugene Jones, 2014. "Credit Card Indebtedness and Psychological Well-Being Over Time: Empirical Evidence from a Household Survey," Journal of Consumer Affairs, Wiley Blackwell, vol. 48(3), pages 431-456, October.

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