The smooth colonel and the reverend find common ground

A semiparametric regression estimator that exploits categorical (i.e., discrete-support) kernel functions is developed for a broad class of hierarchical models including the pooled regression estimator, the fixed-effects estimator familiar from panel data, and the varying coefficient estimator, among others. Separate shrinking is allowed for each coefficient. Regressors may be continuous or discrete. The estimator is motivated as an intuitive …