NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA

Oliver Linton and Yoon-Jae Whang

Econometric Theory, 2002, vol. 18, issue 2, 420-468

Abstract: We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intrafamily component but require that observations from different families be independent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behavior of the characteristic function at infinity. We investigate the practical performance of our method in a simple Monte Carlo experiment.

Date: 2002
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Working Paper: Nonparametric estimation with aggregated data (2002)
Working Paper: Nonparametric Estimation with Aggregated Data (2000)
Working Paper: Nonparametric estimation with aggregated data (2000)
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