Local regression distribution estimators

DOI10.1016/J.JECONOM.2021.01.006arXiv2009.14367OpenAlexW3134196403MaRDI QIDQ6199643FDOQ6199643

Authors: Matias D. Cattaneo, Michael Jansson, Xinwei Ma 

Publication date: 21 March 2024

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

Abstract: This paper investigates the large sample properties of local regression distribution estimators, which include a class of boundary adaptive density estimators as a prime example. First, we establish a pointwise Gaussian large sample distributional approximation in a unified way, allowing for both boundary and interior evaluation points simultaneously. Using this result, we study the asymptotic efficiency of the estimators, and show that a carefully crafted minimum distance implementation based on "redundant" regressors can lead to efficiency gains. Second, we establish uniform linearizations and strong approximations for the estimators, and employ these results to construct valid confidence bands. Third, we develop extensions to weighted distributions with estimated weights and to local $L^2$ least squares estimation. Finally, we illustrate our methods with two applications in program evaluation: counterfactual density testing, and IV specification and heterogeneity density analysis. Companion software packages in Stata and R are available.

Full work available at URL: https://arxiv.org/abs/2009.14367

zbMATH Keywords

efficiencyprogram evaluationuniform approximationoptimal kernellocal polynomial methodsdistribution and density estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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