Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171886
Authors: 
Souza-Rodrigues, Eduardo A.
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-17
Abstract: 
This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the Nadaraya-Watson kernel estimator and determine how general the common shocks can be while still obtaining meaningful kernel estimates. Restrictions on the common shocks are necessary because kernel estimators typically manipulate conditional densities, and conditional densities do not necessarily exist in the present case. By appealing to disintegration theory, I provide sufficient conditions for the existence of such conditional densities and show that the estimator converges in probability to the Kolmogorov conditional expectation given the sigma-field generated by the common shocks. I also establish the rate of convergence and the asymptotic distribution of the kernel estimator.
Subjects: 
nonparametric regression
common shocks
cross-sectional dependence
disintegration theory
JEL: 
C13
C14
C21
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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