Local nonlinear least squares: Using parametric information in nonparametric regression

By P. Gozalo, Oliver B. Linton. 2000

94 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c4332685190df114ab12d77a477e8906e2d6b4c6

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Citations in the corpus

Tilted Nonparametric Estimation of Volatility Functions With Empirical Applications (2010, unknown): “; and T3;T4 = op(h21 +h22): Hence, by ( 16 ) the proof of (i)”
Nonparametric stochastic frontiers: A local maximum likelihood approach (2007, methodology): “As pointed out by Gozalo and Linton (2000), localizing can be viewed as a way of nonparametrically encompassing a parametric “anchorage” model.”
Non-Parametric Regression for Binary Dependent Variables (2006, methodology): “Local non-linear least-squares regression Gozalo and Linton (2000) estimates θ̂x from a sample of n i.i.d. observations {(Y i , X i )}ni=1 as θ̂x = arg min θx n∑ i=1 (Yi − g(Xi , θx ))2 K H (Xi − x), (3) where K H (X i − x) is a kernel function and H a vector of bandwidth values.”
Semiparametric Estimation and Inference Using Doubly Robust Moment Conditions (2013, unknown): “Semiparametric two-step estimators that achieve these bounds have been studied by Heckman, Ichimura, and Todd (1997), Heckman, Ichimura, Smith, and Todd (1998), Hahn (1998), Hirano et al. (2003) or Imbens, Newey, and Ridder (2005), amongst others. Doubly robust estimators of treatment effect paramet”
Nonlinear Log-Periodogram Regression for Perturbed Fractional Processes (2003, methodology): “Linton and Gozalo (2000) found that the local nonlinear estimator had superior performance compared to the local constant kernel estimator when the local nonlinear parameterization is close to the unknown function.”
Unconditional Quantile Treatment Effects Under Endogeneity (2007, unknown): “Some assumptions may be more appropriate in certain settings, other more in others, see, for example, Fan (1993), Masry (1996), or Gozalo and Linton (2000).”
A local generalized method of moments estimator (2007, methodology): “The local GMM estimator provided here is very similar to the local nonlinear least squares estimator of Gozalo and Linton (2000), and in fact an early draft of their paper included a GMM variant.”