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Shape restrictions on the kernel regression function can be imposed using various approach.

One general method was developed in Du, Parmeter and Racine (2013). The basic idea is to impose the constraints (here monotonicity) through weights in a generalized kernel estimator in the spirit of Hall and Huang (2001). The procedure involves solving a quadratic program with linear inequality constraints.

Another method was recently proposed in Horowitz and Lee (2015). The idea is to estimate the unrestricted kernel function, then evaluate what constraints are binding, and finally re-estimate the kernel function under the restrictions found and ignore all others.

Other recent papers study shape restrictions in econometrics. Among others, Chernozukov, Newey and Santos (2015) for conditional moment restriction models although I find it to be a difficult read.

Shape restrictions on the kernel regression function can be imposed using various approach.

One general method was developed in Du, Parmeter and Racine (2013). The basic idea is to impose the constraints (here monotonicity) through weights in a generalized kernel estimator in the spirit of Hall and Huang (2001). The procedure involves solving a quadratic program with linear inequality constraints.

Shape restrictions on the kernel regression function can be imposed using various approach.

One general method was developed in Du, Parmeter and Racine (2013). The basic idea is to impose the constraints (here monotonicity) through weights in a generalized kernel estimator in the spirit of Hall and Huang (2001). The procedure involves solving a quadratic program with linear inequality constraints.

Another method was recently proposed in Horowitz and Lee (2015). The idea is to estimate the unrestricted kernel function, then evaluate what constraints are binding, and finally re-estimate the kernel function under the restrictions found and ignore all others.

Other recent papers study shape restrictions in econometrics. Among others, Chernozukov, Newey and Santos (2015) for conditional moment restriction models although I find it to be a difficult read.

Source Link
dv_bn
  • 546
  • 3
  • 9

Shape restrictions on the kernel regression function can be imposed using various approach.

One general method was developed in Du, Parmeter and Racine (2013). The basic idea is to impose the constraints (here monotonicity) through weights in a generalized kernel estimator in the spirit of Hall and Huang (2001). The procedure involves solving a quadratic program with linear inequality constraints.