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Regression towards the mode

delete2012-09-01
delete51
PRE
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G
Gordon C.R. Kemp
S
Santos Silva, J. M. C. *
DOI:10.1016/j.jeconom.2012.03.002delete
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Abstract

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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Journal

Journal of Econometrics cover
Journal of Econometrics
IF:
4
Papers:
5.3K
Citations:
3.0W

Organization

U
University of Essex
Scholars:
4.0K
Papers: 4.8K
Citations: 5
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