ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE

DOI10.1017/S0266466616000384zbMATH Open1442.62744arXiv1312.6102OpenAlexW2963776693MaRDI QIDQ5357403FDOQ5357403

Authors: Hiroaki Kaido 

Publication date: 15 September 2017

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: This paper studies the identification and estimation of weighted average derivatives of conditional 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 general 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.

Full work available at URL: https://arxiv.org/abs/1312.6102

Recommendations

• Asymptotically optimal estimation of smooth functionals for interval censoring, part 1
• Approximation to the distribution of LAD estimators for censored regression by random weighting method
• Estimations of distributions with interval censored data and their convergence rate
• Weighted estimation of conditional mean function with truncated, censored and dependent data
• Asymptotically optimal estimation of smooth functionals for interval censoring, case 2

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Cites Work

• Estimation and Confidence Regions for Parameter Sets in Econometric Models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Investigating Smooth Multiple Regression by the Method of Average Derivatives
• Consistent Estimation of Scaled Coefficients
• Title not available (Why is that?)
• Semiparametric Estimation of Index Coefficients
• On average derivative quantile regression
• Intersection bounds: estimation and inference
• An Efficient Semiparametric Estimator for Binary Response Models
• Envelope Theorems for Arbitrary Choice Sets
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Semiparametric Estimation of a Regression Model with an Unknown Transformation of the Dependent Variable
• Impossibility results for nondifferentiable functionals
• Bounding quantile demand functions using revealed preference inequalities
• Asymptotic Properties for a Class of Partially Identified Models
• Inference on Regressions with Interval Data on a Regressor or Outcome
• Inference for subvectors and other functions of partially identified parameters in moment inequality models
• Sharp identification regions in models with convex moment predictions
• The common-scaling social cost-of-living index
• Consistent nonparametric hypothesis tests with an application to Slutsky symmetry
• Misspecification in moment inequality models: back to moment equalities?
• SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES
• Evaluating marginal policy changes and the average effect of treatment for individuals at the margin
• Edgeworth Expansions for Semiparametric Averaged Derivatives
• Asymptotically Efficient Estimation of Models Defined by Convex Moment Inequalities
• Local asymptotic minimax estimation of nonregular parameters with translation-scale equivariant maps
• Inference on sets in finance
• A dual approach to inference for partially identified econometric models
• Robust data-driven inference for density-weighted average derivatives

Cited In (4)

• Title not available (Why is that?)
• Debiased machine learning of set-identified linear models
• Local regression smoothers with set-valued outcome data
• A nonparametric test of significant variables in gradients

This page was built for publication: ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5357403)