Uniform in bandwidth consistency of smooth varying coefficient estimators
Authors: J.C. Escanciano, D.T. Jacho-Chavez
Publication: Economics Bulletin, (29), 3, pp. 1889-1895
Abstract
We prove the strong consistency, uniformly in the bandwidth, of the smooth varying coefficient conditional least squares estimator. Our results justify data-driven choices of bandwidths, such as Silverman’s rule-of thumb, or standard cross-validation, that are usually implemented by most practitioners.
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pdf: https://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I3-P37.pdf