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MDL Mean Function Selection in Semiparametric Kernel Regression Models

Author

Listed:
  • Jan G. De Gooijer

    (University of Amsterdam)

  • Ao Yuan

    (Howard University, Washington DC, USA)

Abstract

We study the problem of selecting the optimal functional form among a set of non-nested nonlinear mean functions for a semiparametric kernel based regression model. To this end we consider Rissanen's minimum description length (MDL) principle. We prove the consistency of the proposed MDL criterion. Its performance is examined via simulated data sets of univariate and bivariate nonlinear regression models.

Suggested Citation

  • Jan G. De Gooijer & Ao Yuan, 2008. "MDL Mean Function Selection in Semiparametric Kernel Regression Models," Tinbergen Institute Discussion Papers 08-046/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20080046
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    References listed on IDEAS

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    1. Peter Hall & Sally Morton, 1993. "On the estimation of entropy," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 69-88, March.
    2. Ao Yuan & Jan G. De Gooijer, 2007. "Semiparametric Regression with Kernel Error Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 841-869, December.
    3. Hansen M. H & Yu B., 2001. "Model Selection and the Principle of Minimum Description Length," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 746-774, June.
    4. Harry Joe, 1989. "Estimation of entropy and other functionals of a multivariate density," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(4), pages 683-697, December.
    5. Aaron D. Lanterman, 2001. "Schwarz, Wallace, and Rissanen: Intertwining Themes in Theories of Model Selection," International Statistical Review, International Statistical Institute, vol. 69(2), pages 185-212, August.
    6. Hall, Peter, 1986. "On powerful distributional tests based on sample spacings," Journal of Multivariate Analysis, Elsevier, vol. 19(2), pages 201-224, August.
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    More about this item

    Keywords

    Kernel density estimator; Maximum likelihood estimator; Minimum description length; Nonlinear regression; Semiparametric model;
    All these keywords.

    JEL classification:

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

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