UNIGE document Scientific Article
previous document  unige:79881  next document
add to browser collection

Local multiplicative bias correction for asymmetric kernel density estimators

Hagmann, M.
Published in Journal of econometrics. 2007, vol. 141, no. 1, p. 213-249
Abstract We consider semiparametric asymmetric kernel density estimators when the unknown density has support on [0, ∞). We provide a unifying framework which relies on a local multiplicative bias correction, and contains asymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows us to use popular parametric models in a nonparametric fashion and yields estimators which are robust to misspecification. We further develop a specification test to determine if a density belongs to a particular parametric family. The proposed estimators outperform rival non- and semiparametric estimators in finite samples and are easy to implement. We provide applications to loss data from a large Swiss health insurer and Brazilian income data.
Keywords Semiparametric density estimationAsymmetric kernelIncome distributionLoss distributionHealth insuranceSpecification testing
Full text
Research group Geneva Finance Research Institute (GFRI)
(ISO format)
HAGMANN, M., SCAILLET, Olivier. Local multiplicative bias correction for asymmetric kernel density estimators. In: Journal of econometrics, 2007, vol. 141, n° 1, p. 213-249. doi: 10.1016/j.jeconom.2007.01.018 https://archive-ouverte.unige.ch/unige:79881

428 hits



Deposited on : 2016-01-22

Export document
Format :
Citation style :