摘要翻译:
本文介绍了一种基于局部多项式技术的直观易实现的非参数密度估计器。该估计器是完全边界自适应和自动的,但不需要预装箱或任何其他数据转换。我们研究了估计量的主要渐近性质,并利用这些结果提供了原则性的估计、推断和带宽选择方法。作为我们结果的实质性应用,我们在密度测试过程中发展了一个新的间断,这是回归间断设计和其他程序评估设置中的一个重要问题。给出了一个说明性的经验应用。提供了两个配套的Stata和R软件包。
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英文标题:
《Simple Local Polynomial Density Estimators》
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作者:
Matias D. Cattaneo, Michael Jansson, Xinwei Ma
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最新提交年份:
2019
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分类信息:
一级分类:Economics 经济学
二级分类:Econometrics 计量经济学
分类描述:Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论,微观计量经济学,宏观计量经济学,通过新方法发现的经济关系的实证内容,统计推论应用于经济数据的方法论方面。
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一级分类:Statistics 统计学
二级分类:Methodology 方法论
分类描述:Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计,调查,模型选择,多重检验,多元方法,信号和图像处理,时间序列,平滑,空间统计,生存分析,非参数和半参数方法
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英文摘要:
This paper introduces an intuitive and easy-to-implement nonparametric density estimator based on local polynomial techniques. The estimator is fully boundary adaptive and automatic, but does not require pre-binning or any other transformation of the data. We study the main asymptotic properties of the estimator, and use these results to provide principled estimation, inference, and bandwidth selection methods. As a substantive application of our results, we develop a novel discontinuity in density testing procedure, an important problem in regression discontinuity designs and other program evaluation settings. An illustrative empirical application is given. Two companion Stata and R software packages are provided.
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PDF链接:
https://arxiv.org/pdf/1811.11512