文章基本信息

标题：A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
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作者：Oliver Linton ; Zhijie Xiao
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：2001
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum likelihood estimator [Staniswalis (1989)], and hence improves on standard kernel estimators when the error distribution is not normal. We investigate the finite sample performance of our procedure on simulated data
关键词：Adaptive estimation; asymptotic expansions; efficiency; kernel; ;local likelihood estimation; nonparametric regression