Local Linear Multivariate Regression with Variable Bandwidth in the Presence of Heteroscedasticity
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References listed on IDEAS
- H. Dette & A. Munk, 1998. "Testing heteroscedasticity in nonparametric regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(4), pages 693-708.
- Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
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- Shim, Jooyong & Hwang, Changha, 2009. "Support vector censored quantile regression under random censoring," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 912-919, February.
- Jooyong Shim & Changha Hwang & Kyungha Seok, 2014. "Composite support vector quantile regression estimation," Computational Statistics, Springer, vol. 29(6), pages 1651-1665, December.
- Jungwoo Kim & Joocheol Kim, 2017. "Nonparametric forecasting with one-sided kernel adopting pseudo one-step ahead data," Working papers 2017rwp-102, Yonsei University, Yonsei Economics Research Institute.
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More about this item
Keywords
Heteroscedasticity; kernel smoothing; local linear regression; plug-in bandwidth; variable bandwidth.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-05-27 (Econometrics)
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