Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62177
Authors: 
Tripathi, Gautam
Kim, Woocheol
Year of Publication: 
2000
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2000,85
Abstract: 
Consider the regression y = f(x) + e ' where E (ex) = 0 and the exact functional form of f is unknown, although we do know that it is homogeneous of known degree r. Using a local linear approach we examine two ways of nonparametrically estimating f: (i) a direct or numeraire approach, and (ii) a projection based approach. We show that depending upon the nature of the conditional variance var (Ex), one approach may be asymptotically better than the other. Results of a small simulation experiment are presented to support our findings.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
330.07 kB





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