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This appendix summarizes properties of nonparametric density, mean-regression, and quantile-regression estimators that are used in the text. Härdle (1990), Silverman (1986), and Fan and Gijbels (1996) provide more detailed presentations of kernel and local polynomial estimators. Newey (1997) provides a detailed discussion of series estimators of conditional mean functions. Bhattacharya and Gangopadhyay (1990), Chaudhuri (1991a), Fan et al. (1994), and Horowitz and Lee (2005) discuss nonparametric quantile estimation.