Nonparametric Estimation of Regression Functions in the Presence of Irrelevant Regressors

A-Tier
Journal: Review of Economics and Statistics
Year: 2007
Volume: 89
Issue: 4
Pages: 784-789

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this paper we consider a nonparametric regression model that admits a mix of continuous and discrete regressors, some of which may in fact be redundant (that is, irrelevant). We show that, asymptotically, a data-driven least squares cross-validation method can remove irrelevant regressors. Simulations reveal that this "automatic dimensionality reduction" feature is very effective in finite-sample settings. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Technical Details

RePEc Handle
repec:tpr:restat:v:89:y:2007:i:4:p:784-789
Journal Field
General
Author Count
3
Added to Database
2026-01-25