Efficiency of Weighted Average Derivative Estimators and Index Models

DOI10.2307/2951498zbMath0780.62102OpenAlexW2091630557MaRDI QIDQ3142522

Publication date: 6 January 1994

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/63565

zbMATH Keywords

mean asymptotic variance median efficiency bound spanning condition minimum chi-square optimal weight function elliptically symmetric nonparametric demand analysis approximate efficiency of pooled estimators average derivative estimators efficiency results semiparametric index models weighted average derivatives of conditional location functionals

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Related Items

A method of estimating the average derivative, Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables, Excess heterogeneity, endogeneity and index restrictions, Demystifying Statistical Learning Based on Efficient Influence Functions, TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT, Automatic Smoothing and Estimation in Single Index Poisson Regression, A lack-of-fit test for generalized linear models via single-index techniques, On average derivative quantile regression, NONPARAMETRIC WEIGHTED AVERAGE QUANTILE DERIVATIVE, Gradient-based bandwidth selection for estimating average derivatives, GEE analysis for longitudinal single-index quantile regression, Functional index coefficient models with variable selection, Debiased machine learning of set-identified linear models, ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE, Short‐term forecasting with a computationally efficient nonparametric transfer function model, Efficient estimation in conditional single-index regression, Randomly censored partially linear single-index models, Estimation in monotone single‐index models, Local regression distribution estimators, Analysis of Double Single Index Models, Threshold regression with endogeneity, Identification and estimation of nonseparable single-index models in panel data with correlated random effects, Minimum normal approximation error bandwidth selection for averaged derivatives., Empirical likelihood for density-weighted average derivatives, Are efficient estimators in single-indexed models really efficient? A computational discussion, Generalized Jackknife Estimators of Weighted Average Derivatives, Smoothness adaptive average derivative estimation, The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions, Semiparametric efficiency for partially linear single-index regression models, Testing single-index restrictions with a focus on average derivatives, Nonparametric transfer function models, A simplified approach to computing efficiency bounds in semiparametric models, Censored multiple regression by the method of average derivatives, Estimation of the binary response model using a mixture of distributions estimator (MOD), Single index quantile regression for heteroscedastic data, Efficient estimation in single index models through smoothing splines, Parametric Estimation of Ordinary Differential Equations With Orthogonality Conditions, SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES, Multivariate local polynomial regression for estimating average derivatives, Single-index modelling of conditional probabilities in two-way contingency tables, PROPERTIES OF DOUBLY ROBUST ESTIMATORS WHEN NUISANCE FUNCTIONS ARE ESTIMATED NONPARAMETRICALLY, Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions, Empirical likelihood for average derivatives, Estimating censored regression models in the presence of nonparametric multiplicative hetero\-skedasticity., Instrumental variables estimators of nonparametric models with discrete endogenous regressors