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Regression towards the mode
DOI:10.1016/j.jeconom.2012.03.002.png)
Abstract
En 中文
We propose a semi-parametric mode regression estimator for the case in which the dependent variable has a continuous conditional density with a well-defined global mode. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution. (c) 2012 Elsevier B.V. All rights reserved.
Keywords:
Conditional mode
Density estimation
Normal kernel
Robust regression
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