Nonparametric Regression with Common Shocks
This paper considers a nonparametric regression model for cross-sectional data in the presence of common shocks. Common shocks are allowed to be very general in nature; they do not need to be finite dimensional with a known (small) number of factors. I investigate the properties of the Nadaraya-Wats...
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Format: | Article |
Language: | English |
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MDPI AG
2016-09-01
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Series: | Econometrics |
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Online Access: | http://www.mdpi.com/2225-1146/4/3/36 |