To make high-quality research more accessible and easier to explore.

Fields:

Nonparametric Estimation of Regression Functions in the Presence of Irrelevant Regressors

The Review of Economics and Statistics 2007 89(4), 784-789
In this paper we consider a nonparametric regression model that admits a mix of continuous and discrete regressors, some of which may in fact be redundant (that is, irrelevant). We show that, asymptotically, a data-driven least squares cross-validation method can remove irrelevant regressors. Simulations reveal that this “automatic dimensionality reduction” feature is very effective in finite-sample settings.