Efficiency of Weighted Average Derivative Estimators and Index Models

Whitney Newey and Thomas M Stoker

Econometrica, 1993, vol. 61, issue 5, 1199-223

Abstract: Weighted average derivatives are useful parameters for semiparametric index models and nonparametric demand analysis. This paper gives efficiency results for average derivative estimators, including formulating estimators that have high efficiency. The authors derive the efficiency bound for weighted average derivatives of conditional location functionals, such as the conditional mean and median. They also derive the efficiency bound for semiparametric index models, where the location measure depends on indices or linear combinations of the regressors. The authors derive the efficient weight function when the distribution of the regressors is elliptically symmetric. They also discuss how to combine estimators with different known weight functions to achieve efficiency. Copyright 1993 by The Econometric Society.

Date: 1993
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