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A simple ordered data estimator for inverse density weighted expectations

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  • Lewbel, Arthur
  • Schennach, Susanne M.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 136 (2007)
Issue (Month): 1 (January)
Pages: 189-211

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Handle: RePEc:eee:econom:v:136:y:2007:i:1:p:189-211

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Cogneau, Denis & Maurin, Eric, 2001. "Parental Income and School Attendance in a Low-Income Country: a semi-parametric analysis," Economics Papers from University Paris Dauphine 123456789/4580, Paris Dauphine University.
  2. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, 07.
  3. Mack, Y. P. & Müller, Hans-Georg, 1988. "Convolution type estimators for nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 7(3), pages 229-239, December.
  4. Yatchew, A., 1997. "An elementary estimator of the partial linear model," Economics Letters, Elsevier, vol. 57(2), pages 135-143, December.
  5. Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(01), pages 32-51, February.
  6. Barbe, Philippe, 1994. "Joint approximation of processes based on spacings and order statistics," Stochastic Processes and their Applications, Elsevier, vol. 53(2), pages 339-349, October.
  7. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  8. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
  9. Newey, W.K., 1991. "The Asymptotic Variance of Semiparametric Estimators," Working papers 583, Massachusetts Institute of Technology (MIT), Department of Economics.
  10. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
  11. Whitney K. Newey and Paul A. Ruud., 1994. "Density Weighted Linear Least Squares," Economics Working Papers 94-228, University of California at Berkeley.
  12. Hall, Peter & Horowitz, Joel L., 1990. "Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 6(02), pages 123-150, June.
  13. 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.
  14. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  15. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
  16. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
  17. Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, 05.
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Citations

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Cited by:
  1. David Jacho-Chávez, 2008. "k nearest-neighbor estimation of inverse density weighted expectations," Economics Bulletin, AccessEcon, vol. 3(48), pages 1-6.
  2. Yingying Dong & Arthur Lewbel, 2004. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Boston College Working Papers in Economics 604, Boston College Department of Economics, revised 15 Jun 2012.
  3. Stewart, Mark B., 2005. "A comparison of semiparametric estimators for the ordered response model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 555-573, April.
  4. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
  5. repec:ebl:ecbull:v:3:y:2008:i:48:p:1-6 is not listed on IDEAS
  6. Hitomi, Kohtaro & Nishiyama, Yoshihiko & Okui, Ryo, 2008. "A Puzzling Phenomenon In Semiparametric Estimation Problems With Infinite-Dimensional Nuisance Parameters," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1717-1728, December.
  7. Arthur Lewbel, 2000. "Endogenous Selection Or Treatment Model Estimation," Boston College Working Papers in Economics 462, Boston College Department of Economics, revised 13 Jun 2007.
  8. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(04), pages 769-803, August.
  9. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
  10. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
  11. Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Viewpoint: Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 809-829, August.

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