search query: @indexterm ECONOMETRICS / total: 250
reference: 142 / 250
| Author: | Powell, J. Stocker, T. |
| Title: | Optimal bandwidth choice for density-weighted averages |
| Journal: | Journal of Econometrics
1996 : DEC, VOL. 75:2, p. 291-316 |
| Index terms: | ECONOMETRICS ECONOMICS RESEARCH |
| Language: | eng |
| Abstract: | This paper characterizes the optimal bandwidth value for estimating density-weighted averages, statistics that arise in semiparametric estimation methods for index models and models of selected samples based on nonparametric kernel estimators. The optimal bandwidth is derived by minimizing the leading terms of mean squared error of the density-weighted average. The optimal bankwidth formulation is developed by comparison to the optimal pointwise bandwidth of a naturally associated nonparametric estimation problem. |
SCIMA