Root-$n$-uniformly consistent density estimation in nonparametric regression models
Authors: J.C. Escanciano, D.T. Jacho-Chavez
Publication: Journal of Econometrics, (167), 2, pp. 305-316
DOI: 10.1016/j.jeconom.2011.09.017
Abstract
The paper introduces a ${\sqrt{n}}$-consistent estimator of the probability density function of the response variable in a nonparametric regression model. The proposed estimator is shown to have a (uniform) asymptotic normal distribution, and it is computationally very simple to calculate. A Monte Carlo experiment confirms our theoretical results. The results derived in the paper adapt general U-processes theory to the inclusion of infinite dimensional nuisance parameters.
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