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

DOI10.1017/S0266466616000384MaRDI QIDQ5357403zbMATH OpenOpenAlexFDO

Authors Hiroaki Kaido

Publication date 15 September 2017

Published in Econometric Theory (Search for Journal in Brave)

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

Mathematics Subject Classification ID

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

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.

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Cited in

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