Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method. (16th March 2017)

• Record Type: Journal Article
• Authors: Green, Carl; Li, Qi; Zhang, Yu Yvette
• Is Part Of: Econometric reviews. Volume 36:Number 1/3(2017)
• Page Start: 205
• Page End: 224
• Publication Date: 2017-03-16
• Subjects: Discrete covariates -- nonparametric smoothing; C14; Econometrics -- Periodicals; 330.015195
• DOI: 10.1080/07474938.2015.1114295
• Languages: English
• ISSNs: 0747-4938

Abstract

ABSTRACT: In this article we consider the problem of estimating a nonparametric conditional mean function with mixed discrete and continuous covariates by the nonparametric k -nearest-neighbor ( k-nn ) method. We derive the asymptotic normality result of the proposed estimator and use Monte Carlo simulations to demonstrate its finite sample performance. We also provide an illustrative empirical example of our method.