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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
Published in: journal Econometric Reviews, Volume 20, Issue 1 February 2001 , pages 113 - 131
Formats available: HTML (English) : PDF (English)
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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.
Keywords: Nonparametric estimation; Functional dependency; Average derivatives estimator; JEL Classification: C2, C4
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