SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES

Matias Cattaneo, Richard Crump and Michael Jansson

Department of Economics, Working Paper Series from Department of Economics, Institute for Business and Economic Research, UC Berkeley

Abstract: This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (Econometrica 57, 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 papercoincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths. Copyright © Cambridge University Press 2013 A ̂.

Keywords: Semiparametric estimation; density-weighted average derivatives; Statistics; Econometrics (search for similar items in EconPapers)
Date: 2014-02-01
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES (2014)
Working Paper: Small Bandwidth Asymptotics for Density-Weighted Average Derivatives (2008)
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