Friday, September 24, 2010

Regression towards the mode

J.M.C. Santos Silva
(University of Essex)

Abstract: We propose a semi-parametric mode regression estimator for the case in which the variate of interest is continuous and observable over its entire unbounded support. The estimator is semi-parametric in that the conditional mode is specified as a parametric function, but only mild assumptions are made about the nature of the conditional density of interest. We show that the proposed estimator is consistent and has a tractable asymptotic distribution. Simulation results and an empirical illustration are provided to highlight the practicality and usefulness of the estimator.

Friday, September 24, 2010
Time: 11h00
Room: Sala IAPMEI, Edificio Quelhas, ISEG