Hao Dong, Taisuke Otsu and Luke Taylor

Published 25 January 2022

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We propose two novel bandwidth selection procedures for the nonparametric regression model with classical measurement error in the regressors. Each method is based on evaluating the prediction errors of the regression using a second (density) deconvolution. The first approach uses a typical leave-one-out cross validation criterion, while the second applies a bootstrap approach and the concept of out-of-bag prediction. We show the asymptotic validity of both procedures and compare them to the SIMEX method of Delaigle and Hall (2008) in a Monte Carlo study. As well as enjoying advantages in terms of computational cost, the methods proposed in this paper lead to lower mean integrated squared error compared to the current state-of-the-art.