Estimating derivatives of function-valued parameters in a class of moment condition models

DOI10.1016/J.JECONOM.2019.11.004zbMATH Open1456.62305arXiv1610.09363OpenAlexW2995469605WikidataQ126619508 ScholiaQ126619508MaRDI QIDQ2190207FDOQ2190207

Authors: Christoph Rothe, Dominik Wied 

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Abstract: We develop a general approach to estimating the derivative of a function-valued parameter $het{a}_o(u)$ that is identified for every value of $u$ as the solution to a moment condition. This setup in particular covers many interesting models for conditional distributions, such as quantile regression or distribution regression. Exploiting that $het{a}_o(u)$ solves a moment condition, we obtain an explicit expression for its derivative from the Implicit Function Theorem, and estimate the components of this expression by suitable sample analogues, which requires the use of (local linear) smoothing. Our estimator can then be used for a variety of purposes, including the estimation of conditional density functions, quantile partial effects, and structural auction models in economics.

Full work available at URL: https://arxiv.org/abs/1610.09363

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zbMATH Keywords

quantile regressionconditional density estimationlocal linear smoothingdistribution regressionquantile partial effects

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited In (3)

• Parameter Estimation for the Bateman Function via Moments of the Empirical Curve
• Truncating the exponential with a uniform distribution
• Partial derivative estimation for underlying functional-valued process in a unified framework

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