2019/09/26 by Byunghoon Kang, Kang, Byunghoon
Economics, Econometrics and Finance · #Econometrics (econ.EM) #FOS: Economics and business #Italy: Economic History and Contemporary Issues #Monetary Policy and Economic Impact
paper · pdf · doi:10.48550/arxiv.1909.12162
openalex publication_date 2019/09/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Nonparametric series regression often involves specification search over the\ntuning parameter, i.e., evaluating estimates and confidence intervals with a\ndifferent number of series terms. This paper develops pointwise and uniform\ninferences for conditional mean functions in nonparametric series estimations\nthat are uniform in the number of series terms. As a result, this paper\nconstructs confidence intervals and confidence bands with possibly\ndata-dependent series terms that have valid asymptotic coverage probabilities.\nThis paper also considers a partially linear model setup and develops inference\nmethods for the parametric part uniform in the number of series terms. The\nfinite sample performance of the proposed methods is investigated in various\nsimulation setups as well as in an illustrative example, i.e., the\nnonparametric estimation of the wage elasticity of the expected labor supply\nfrom Blomquist and Newey (2002).\n