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Abstract:

Econometrics Paper
The Estimation of Conditional Densities
Xiaohong Chen, Oliver Linton and Peter M Robinson
May 2001
Paper No' EM/2001/415:
Full Paper (pdf)

Tags: conditional density estimation; serial dependence; bandwidth choice.

We discuss a number of issues in the smoothed nonparametric estimation of kernel conditional probability density functions for stationary processes. The kernel conditional density estimate is a ratio of joint and marginal density estimates. We point out the different implications of leading choices of bandwidths in numerator and denominator for the ability of the estimate to integrate to one and to have finite moments. Again bearing in mind different bandwidth possibilities, we discuss asymptotic theory for the estimate: asymptotic bias and variance are calculated under various conditions, an extended discussion of bandwidth choice is included, and a central limit theorem is given.