Bootstrapping Density-Weighted Average Derivatives

Matias Cattaneo, Richard Crump and Michael Jansson

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

Abstract: Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and Stoker (1989). In many cases validity of bootstrap-based inference procedures is found to depend crucially on whether the bandwidth sequence satisfies a particular (asymptotic linearity) condition. An exception to this rule occurs for inference procedures involving a studentized estimator employing a "robust" variance estimator derived from the "small bandwidth" asymptotic framework. The results of a small-scale Monte Carlo experiment are found to be consistent with the theory and indicate in particular that sensitivity with respect to the bandwidth choice can be ameliorated by using the "robust"variance estimatorClassification-JEL: C12, C14, C21, C24

Keywords: Averaged derivatives; Bootstrap; Small bandwidth asymptotics (search for similar items in EconPapers)
Pages: 30
Date: 2010-05-17
New Economics Papers: this item is included in nep-ecm and nep-ore
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Citations: View citations in EconPapers (8)

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https://repec.econ.au.dk/repec/creates/rp/10/rp10_23.pdf (application/pdf)

Related works:
Journal Article: BOOTSTRAPPING DENSITY-WEIGHTED AVERAGE DERIVATIVES (2014)
Working Paper: Bootstrapping density-weighted average derivatives (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2010-23

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