Nonparametric regression with weakly dependent data: the discrete and continuous regressor case

Data-driven methods of bandwidth selection are necessary for the sound application of kernel methods, with benefits including but not limited to automatic dimensionality reduction in the presence of irrelevant regressors [P. Hall, Q. Li, and J.S. Racine, ‘Nonparametric estimation of regression functions in the presence of irrelevant regressors, Rev. Econ. Statist. 89 (2007), pp. 784–789] and the ability to handle the mix of discrete and …