Density Weighted Linear Least Squares

Whitney K. Newey and Paul A. Ruud.
Authors registered in the RePEc Author Service: Whitney Newey and Paul A. Ruud

No 94-228, Economics Working Papers from University of California at Berkeley

Abstract: We present asymptotic distribution theory for the inverse-density-weighted quasi-maximum likelihood estimator of semi-parametric index models proposed by Ruud. We also compare the performance of this estimator with the average derivative estimators proposed by Stoker.

Date: 1994-08-01
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Working Paper: Density Weighted Linear Least Squares (1994)
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