Further theoretical and practical insight to the do-validated bandwidth selector |
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Institution: | 1. Department of Economics, University of Mannheim, Germany;2. Cass Business School, City University London, UK;3. University of Granada, Spain;4. Département des Sciences économiques, Universitè de Genève, Switzerland |
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Abstract: | Recent contributions to kernel smoothing show that the performance of cross-validated bandwidth selectors improves significantly from indirectness and that the recent do-validated method seems to provide the most practical alternative among these methods. In this paper we show step by step how classical cross-validation improves in theory, as well as in practice, from indirectness and that do-validated estimators improve in theory, but not in practice, from further indirectness. This paper therefore provides a strong support for the practical and theoretical properties of do-validated bandwidth selection. Do-validation is currently being introduced to survival analysis in a number of contexts and this paper provides evidence that this might be the immediate step forward. |
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Keywords: | Kernel density estimation Data-adaptive bandwidth selection Indirect cross-validation Do-validation |
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