A Method of Estimating the Average Derivative

Anurag N. Banerjee
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Anurag N. Banerjee: CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1994003, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This work describes a method of estimating the Average Derivative [ delta ]= E(m') (where 'm' is the regression function). The method unlike Hardie-Stoker (JASA, 1989) method, uses local linear regression, and is a "direct" estimate of [ delta ]. Some large sample properties have been obtained, and the two methods have been compared using simulation studies.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1994003

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