Cross Validation Bandwidth Selection Gauss file(s) npr_crossvalid.g Matlab file(s) npr_crossvalid.m Simulate T = 100 observations from the model used in Exercises 10, 11 and 12.

(a) Find the optimal bandwidth by cross validation using a grid of bandwidths, h = {0.001, 0.002, · · · , 0.5}.

(b) Repeat the exercise for samples of size T = 200, 500, 1000 and comment on the relationship between the optimal bandwidth based on cross validation and the sample size.

(c) Show that by not using cross validation, whereby the conditional mean is computed using (11.27), this leads to the degenerate solution of h = 0.