Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators

A-Tier
Journal: Journal of Econometrics
Year: 2013
Volume: 174
Issue: 2
Pages: 127-143

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

This paper studies the asymptotic properties of partitioning estimators of the conditional expectation function and its derivatives. Mean-square and uniform convergence rates are established and shown to be optimal under simple and intuitive conditions. The uniform rate explicitly accounts for the effect of moment assumptions, which is useful in semiparametric inference. A general asymptotic integrated mean-square error approximation is obtained and used to derive an optimal plug-in tuning parameter selector. A uniform Bahadur representation is developed for linear functionals of the estimator. Using this representation, asymptotic normality is established, along with consistency of a standard-error estimator. The finite-sample performance of the partitioning estimator is examined and compared to other nonparametric techniques in an extensive simulation study.

Technical Details

RePEc Handle
repec:eee:econom:v:174:y:2013:i:2:p:127-143
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25