IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v82y2012i12p2198-2205.html
   My bibliography  Save this article

Normal reference bandwidths for the general order, multivariate kernel density derivative estimator

Author

Listed:
  • Henderson, Daniel J.
  • Parmeter, Christopher F.

Abstract

This note derives the general form of the asymptotic approximate mean integrated squared error for the q-variate, νth-order kernel density rth derivative estimator. This formula allows for normal reference rule-of-thumb bandwidths to be derived. We give tables for some of the most common cases in the literature.

Suggested Citation

  • Henderson, Daniel J. & Parmeter, Christopher F., 2012. "Normal reference bandwidths for the general order, multivariate kernel density derivative estimator," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2198-2205.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:12:p:2198-2205
    DOI: 10.1016/j.spl.2012.07.020
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715212002921
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2012.07.020?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Tong Li & Isabelle Perrigne & Quang Vuong, 2002. "Structural Estimation of the Affliated Private Value Auction Model," RAND Journal of Economics, The RAND Corporation, vol. 33(2), pages 171-193, Summer.
    2. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    3. Pagan,Adrian & Ullah,Aman, 1999. "Nonparametric Econometrics," Cambridge Books, Cambridge University Press, number 9780521355643, November.
    4. Duong, Tarn & Cowling, Arianna & Koch, Inge & Wand, M.P., 2008. "Feature significance for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4225-4242, May.
    5. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
    6. Hansen, Bruce E., 2005. "Exact Mean Integrated Squared Error Of Higher Order Kernel Estimators," Econometric Theory, Cambridge University Press, vol. 21(6), pages 1031-1057, December.
    7. Henderson, Daniel J. & Parmeter, Christopher F., 2012. "Canonical higher-order kernels for density derivative estimation," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1383-1387.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024. "Nonparametric Local Projections," Working Papers 2414, Federal Reserve Bank of Dallas.
    2. Salim Bouzebda & Mohamed Chaouch & Sultana Didi Biha, 2022. "Asymptotics for function derivatives estimators based on stationary and ergodic discrete time processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 737-771, August.
    3. Christopher F. Parmeter & Valentin Zelenyuk, 2019. "Combining the Virtues of Stochastic Frontier and Data Envelopment Analysis," Operations Research, INFORMS, vol. 67(6), pages 1628-1658, November.
    4. Christopher F. Parmeter & Valentin Zelenyuk, 2016. "A Bridge Too Far? The State of the Art in Combining the Virtues of Stochastic Frontier Analysis and Data Envelopement Analysis," Working Papers 2016-10, University of Miami, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Deniz Ozabaci & Daniel Henderson, 2015. "Additive kernel estimates of returns to schooling," Empirical Economics, Springer, vol. 48(1), pages 227-251, February.
    2. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    3. Ural Marchand, Beyza, 2012. "Tariff pass-through and the distributional effects of trade liberalization," Journal of Development Economics, Elsevier, vol. 99(2), pages 265-281.
    4. Zhu, Rong, 2011. "NILS Working paper no 170. The impact of major--job mismatch on college graduates' early career earnings," NILS Working Papers 26072, National Institute of Labour Studies.
    5. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
    6. Jesus Gonzalo & Jose Olmo, 2014. "Conditional Stochastic Dominance Tests In Dynamic Settings," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(3), pages 819-838, August.
    7. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
    8. Lu, Xuewen & Burke, M.D., 2005. "Censored multiple regression by the method of average derivatives," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 182-205, July.
    9. Bădin, Luiza & Daraio, Cinzia & Simar, Léopold, 2012. "How to measure the impact of environmental factors in a nonparametric production model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 818-833.
    10. Debopam Bhattacharya & Shin Kanaya & Margaret Stevens, 2017. "Are University Admissions Academically Fair?," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 449-464, July.
    11. Bhattacharya, Debopam & Dupas, Pascaline, 2012. "Inferring welfare maximizing treatment assignment under budget constraints," Journal of Econometrics, Elsevier, vol. 167(1), pages 168-196.
    12. Halbert White & Karim Chalak, 2013. "Identification and Identification Failure for Treatment Effects Using Structural Systems," Econometric Reviews, Taylor & Francis Journals, vol. 32(3), pages 273-317, November.
    13. Charpentier, Arthur & Flachaire, Emmanuel, 2015. "Log-Transform Kernel Density Estimation Of Income Distribution," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 141-159, Mars-Juin.
    14. Henderson, Daniel J. & Polachek, Solomon W. & Wang, Le, 2011. "Heterogeneity in schooling rates of return," Economics of Education Review, Elsevier, vol. 30(6), pages 1202-1214.
    15. Marmer, Vadim & Shneyerov, Artyom, 2012. "Quantile-based nonparametric inference for first-price auctions," Journal of Econometrics, Elsevier, vol. 167(2), pages 345-357.
    16. Simar, Leopold & Zelenyuk, Valentin, 2011. "To Smooth or Not to Smooth? The Case of Discrete Variables in Nonparametric Regressions," LIDAM Discussion Papers ISBA 2011042, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    17. Bontemps, Christophe & Racine, Jeffrey S. & Simioni, Michel, 2009. "Nonparametric vs Parametric Binary Choice Models: An Empirical Investigation," TSE Working Papers 09-126, Toulouse School of Economics (TSE).
    18. Politis, Dimitris N, 2010. "Model-free Model-fitting and Predictive Distributions," University of California at San Diego, Economics Working Paper Series qt67j6s174, Department of Economics, UC San Diego.
    19. Daniel J. Henderson & Alexandre Olbrecht & Solomon W. Polachek, 2006. "Do Former College Athletes Earn More at Work?: A Nonparametric Assessment," Journal of Human Resources, University of Wisconsin Press, vol. 41(3).
    20. Meryem Duygun & Silvia Pazzi & Emili Tortosa-Ausina & Simona Zambelli, 2014. "Does local public ownership matter for the efficiency of water utilities? Evidence from Italy," Working Papers 2014/21, Economics Department, Universitat Jaume I, Castellón (Spain).

    More about this item

    Keywords

    Derivative estimation; Smoothing; AMISE;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:12:p:2198-2205. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.