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k nearest-neighbor estimation of inverse density weighted expectations

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Author Info
David Jacho-Chávez () (Indiana University)

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Abstract

This letter considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-Nearest Neighbor method. L²-consistency is established. The proposed estimator is also shown to be asymptotically semiparametric efficient. Some limited Monte Carlo experiments show that the proposed estimator performs as good as alternative methods in finite sample applications.

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File URL: http://economicsbulletin.vanderbilt.edu/2008/volume3/EB-08C40005A.pdf
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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 3 (2008)
Issue (Month): 48 ()
Pages: 1-6
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:3:y:2008:i:48:p:1-6

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Related research
Keywords: Nearest neighbor; Semiparamteric estimation;

Find related papers by JEL classification:
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General

References listed on IDEAS
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  1. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January. [Downloadable!] (restricted)
  2. Zhenjuan Liu & Xuewen Lu & Zhenjuan Liu & Xuewen Lu, 1997. "Root-n-consistent semiparametric estimation of partially linear models based on k-nn method," Econometric Reviews, Taylor and Francis Journals, vol. 16(4), pages 411-420. [Downloadable!] (restricted)
  3. Khan, Shakeeb & Lewbel, Arthur, 2007. "Weighted And Two-Stage Least Squares Estimation Of Semiparametric Truncated Regression Models," Econometric Theory, Cambridge University Press, vol. 23(02), pages 309-347, April. [Downloadable!]
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  4. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
  5. Lewbel, Arthur, 2000. "Semiparametric qualitative response model estimation with unknown heteroscedasticity or instrumental variables," Journal of Econometrics, Elsevier, vol. 97(1), pages 145-177, July. [Downloadable!] (restricted)
    Other versions:
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