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A MODIFIED AVERAGE DERIVATIVES ESTIMATOR

Chunrong Ai

Econometric Reviews, 2001, vol. 20, issue 1, 113-131

Abstract: We extend the average derivatives estimator to the case of functionally dependent regressors. We show that the proposed estimator is consistent and has a limiting normal distribution. A consistent covariance matrix estimator for the proposed estimator is provided.

Keywords: Nonparametric estimation; Functional dependency; Average derivatives estimator; JEL Classification: C2; C4 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1081/ETC-100104083

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