Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels and the standard errors are "robust" in the sense that they accommodate (but do not require) bandwidths that are smaller than those for which conventional standard errors are valid. Moreover, the results of a Monte Carlo experiment suggest that the finite sample coverage rates of confidence intervals constructed using the standard errors developed in this paper coincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths.

Keywords: Semiparametric estimation; density-weighted average derivatives (search for similar items in EconPapers)
JEL-codes: C14 C21 (search for similar items in EconPapers)
Pages: 32
Date: 2008-05-20
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://repec.econ.au.dk/repec/creates/rp/08/rp08_24.pdf (application/pdf)

Related works:
Journal Article: SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES (2014)
Working Paper: SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2008-24

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