Average derivative estimation with errors-in-variables
Author:
Yanqin Fan -
a
| Affiliation: | a Department of Economics, University of Windsor, Windsor, Ontario, Canada |
DOI:
10.1080/10485259508832628
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
In this paper, we extend the density-weighted average derivative estimation of Powell et al. to allow for measurement error without relying on the existence of instrumental variables as in Lewbel . This is made possible by using the deconvolution technique of Stefanski and Carroll and Fan The proposed estimator is shown to be asymptotically normally distributed and converges at the parametric rate n-(1/2), where n is the sample size.
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| Keywords: Deconvolution; ordinary smooth errors; rate of convergence; asymptotic normality |
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