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Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. (English) Zbl 1431.62646
Summary: We consider nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters. Most of the existing works on asymptotic distributions of a nonparametric/semiparametric estimator or a test statistic are based on some deterministic smoothing parameters, while in practice it is important to use data-driven methods to select the smoothing parameters. In this paper we give a simple sufficient condition that can be used to establish the first order asymptotic equivalence of a nonparametric estimator or a test statistic with stochastic smoothing parameters to those using deterministic smoothing parameters. We also allow for general weakly dependent data.

MSC:
 62P20 Applications of statistics to economics 62G05 Nonparametric estimation 62G07 Density estimation 62G10 Nonparametric hypothesis testing 62G20 Asymptotic properties of nonparametric inference
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