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Kernel Estimation of Partial Means and a General Variance Estimator

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Author Info
Newey, Whitney K.
Abstract

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verify them for particular estimators. The general results are applied to partial means, which are averages of kernel estimators over some of their arguments with other arguments held fixed. Partial means have econometric applications, such as consumer surplus estimation, and are useful for estimation of additive nonparametric models.

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File URL: http://journals.cambridge.org/abstract_S0266466600008409
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 10 (1994)
Issue (Month): 02 (June)
Pages: 1-21
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:etheor:v:10:y:1994:i:02:p:1-21_00

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