Green, Carl et al., Nonparametric estimation of regression models with mixed discrete and continuous covariates by the K-nn method, Econometric reviews , 36(1-3), 2017, pp. 205-224
In this article we consider the problem of estimating a nonparametric conditional mean function with mixed discrete and continuous covariates by the nonparametric k-nearest-neighbor (k-nn) method. We derive the asymptotic normality result of the proposed estimator and use Monte Carlo simulations to demonstrate its finite sample performance. We also provide an illustrative empirical example of our method.