A MODIFIED AVERAGE DERIVATIVES ESTIMATOR
Author:
Chunrong Ai a
| Affiliation: | a Department of Economics, University of Florida, Gainesville, FL, U.S.A. |
DOI:
10.1081/ETC-100104083
Publication Frequency:
6 issues per year
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Abstract
We extend the average derivatives estimator to the case of functionally dependent regressors. We show that the proposed estimator is consistent and has a limiting normal distribution. A consistent covariance matrix estimator for the proposed estimator is provided.
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| Keywords: Nonparametric estimation; Functional dependency; Average derivatives estimator; JEL Classification: C2, C4 |
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