Asymptotically Efficient Estimation of Weighted Average Derivatives with an Inverval Censored Variable

Hiroaki Kaido

No 2013-022, Boston University - Department of Economics - Working Papers Series from Boston University - Department of Economics

Abstract: This paper studies the identification and estimation of weighted average derivatives of con- ditional location functionals including conditional mean and conditional quantiles in settings where either the outcome variable or a regressor is interval-valued. Building on Manski and Tamer (2002) who study nonparametric bounds for mean regression with interval data, we characterize the identified set of weighted average derivatives of regression functions. Since the weighted average derivatives do not rely on parametric specifications for the regression functions, the identified set is well-defined without any parametric assumptions. Under gen- eral conditions, the identified set is compact and convex and hence admits characterization by its support function. Using this characterization, we derive the semiparametric efficiency bound of the support function when the outcome variable is interval-valued. We illustrate efficient estimation by constructing an efficient estimator of the support function for the case of mean regression with an interval censored outcome.

Keywords: Partial Identification; Weighted Average Derivative; Semiparametric Efficiency; Support Function; Interval Data (search for similar items in EconPapers)
Pages: 42
Date: 2013
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Related works:
Journal Article: ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE (2017)
Working Paper: Asymptotically efficient estimation of weighted average derivatives with an interval censored variable (2014)
Working Paper: Asymptotically efficient estimation of weighted average derivatives with an interval censored variable (2014)
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