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This paper introduces Stata commands [R] npivreg and [R] npivregcv, which implement nonparametric instrumental variable (NPIV) estimation methods without and with a cross-validated choice of tuning parameters, respectively. Both commands are able to impose monotonicity of the estimated function....
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In this article we overview nonparametric (spline and kernel) regression methods and illustrate how they may be used in …
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Generalized additive models (GAM) are multivariate nonparametric regressions for non-Gaussian responses including binary and count data. We propose a spline-backfitted kernel (SBK) estimator for the component functions. Our results are for weakly dependent data and we prove oracle efficiency....
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We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the … partial linear semiparametric regression model, y = Xb + f + e. Both estimators are analysed and compared in the sense of mean …
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A nonparametric procedure for quantile regression, or more generally nonparametric M-estimation, is proposed which is … completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each …. Simulations for different univariate median regression models show good finite sample properties, also in comparison to …
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non-random and a random system. Unlike classical regressions, mean regression functions in the new model contain variance …
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