Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/61238 
Year of Publication: 
1998
Series/Report no.: 
SFB 373 Discussion Paper No. 1998,20
Publisher: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Abstract: 
This methodological paper discusses the application of 'adaptive' non-parametric procedures for estimating regression functions or contrasts in situations with quantitative regressands and qualitative regressors. We propose to apply an adaptive regressogram, that is the selection of a regressogram estimate among the class of regressograms corresponding to all possible partitions of the regressor range. Our selection criterion is an analog to Mallows's Cp and this allows to state some small sample and asymptotic properties of the adaptive estimator. We also comment on stepwise selection procedures. The details of the procedure are presented in several interesting special cases, e.g. the two-or three-sample problem and the twoway classification. We illustrate there possible improvements over the usual least squares (ANOVA-)estimates.
Subjects: 
Adaptive least squares estimation
minimax regret
ANOVA
discrete explanatory variable
twoway classification
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
204.44 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.