Abstract
This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that plug-in bandwidths are relatively small. Several empirical examples show that the plug-in bandwidths are typically similar in magnitude to their cross-validated counterparts.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 199-214 |
| Number of pages | 16 |
| Journal | Econometrics |
| Volume | 3 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jun 1 2015 |
Keywords
- Bandwidth selection
- Discrete variable
- Kernel
- Nonparametric
- Plug-in
ASJC Scopus subject areas
- Economics and Econometrics
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Chu, C. Y., Henderson, D. J., & Parmeter, C. (2015). Plug-in bandwidth selection for kernel density estimation with discrete data. Econometrics, 3(2), 199-214. https://doi.org/10.3390/econometrics3020199