首页 | 本学科首页   官方微博 | 高级检索  
     检索      


The smooth colonel and the reverend find common ground
Authors:Nicholas M Kiefer  Jeffrey S Racine
Institution:1. Departments of Economics and Statistical Science, Cornell University, Ithaca, New York, USA, and CREATES, Universiy of Aarhus, Denmark;2. Department of Economics, McMaster University, Hamilton, Ontario, Canada
Abstract:A semiparametric regression estimator that exploits categorical (i.e., discrete-support) kernel functions is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effects estimator familiar from panel data, and the varying coefficient estimator, among others. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The estimator is motivated as an intuitive and appealing generalization of existing methods. It is then supported by demonstrating that it can be realized as a posterior mean in the Lindley and Smith (1972 Lindley, D. V., Smith, A. F. M. (1972). Bayes estimates for the linear model. Journal of the Royal Statistical Society 34:141. Google Scholar]) framework. As a demonstration of the flexibility of the proposed approach, the model is extended to nonparametric hierarchical regression based on B-splines.
Keywords:Bayesian methods  econometrics  hierarchical models  kernel estimation  nonparametrics  panel data
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号