Gradient-based bandwidth selection for estimating average derivatives

Cong Li and Yanfei Wang

Economics Letters, 2016, vol. 140, issue C, 19-22

Abstract: In this paper, we propose to estimate average derivatives of a function by averaging the sample pointwise local linear derivatives with the bandwidth being selected optimally. Our estimator has better finite sample performance than that of Li, Lu & Ullah (2003) because our pointwise derivative estimate reaches the optimal convergence rate. Simulations confirm our theoretical analysis.

Keywords: Average derivatives estimation; Kernel smoothing; Optimal bandwidth selection (search for similar items in EconPapers)
JEL-codes: C14 C18 C21 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:140:y:2016:i:c:p:19-22

DOI: 10.1016/j.econlet.2015.12.005

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