Cross Validated Snp Density Estimates

Duke Economics Working Paper No 00-10

36 Pages Posted: 22 Nov 2000

See all articles by Mark Coppejans

Mark Coppejans

BlackRock, Inc; Barclays Global Investors

A. Ronald Gallant

Duke University - Fuqua School of Business, Economics Group; New York University - Department of Economics

Date Written: 2000

Abstract

We consider cross-validation strategies for the SNP nonparametric density estimator, which is a truncation (or sieve) estimator based upon a Hermite series expansion. Our main focus is on the use of SNP density estimators as an adjunct to EMM structural estimation. It is known that for this purpose a desirable truncation point occurs at the last point at which the MSE curve of the SNP density estimate declines abruptly. We study the determination of the MSE curve on a per sample basis for iid data by means of leave-one-out cross-validation and hold-out-sample cross-validation through an examination of their performance over the Marron-Wand test suite and models related to asset pricing and auction applications. We find that both methods are informative as to the location of abrupt drops. The hold-out-sample method is cheaper to compute because it requires fewer nonlinear optimizations. The minimum of the hold-out-sample cross-validation curve also seems to be a better indicator of the minimum of the true MSE curve. We consider the asymptotic justification of hold-out-sample cross-validation. For this purpose, we establish rates of convergence of the SNP estimator under the Hellinger norm that are of interest in their own right.

JEL Classification: C14

Suggested Citation

Coppejans, Mark T. and Gallant, A. Ronald, Cross Validated Snp Density Estimates (2000). Duke Economics Working Paper No 00-10. Available at SSRN: https://ssrn.com/abstract=235746 or http://dx.doi.org/10.2139/ssrn.235746

Mark T. Coppejans

BlackRock, Inc ( email )

San Francisco, CA
United States

Barclays Global Investors ( email )

45 Fremont Street
San Francisco, CA 94105
United States

A. Ronald Gallant

Duke University - Fuqua School of Business, Economics Group ( email )

Box 90097
Durham, NC 27708-0097
United States

New York University - Department of Economics ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

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