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A Modified Average Derivatives Estimator

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  • Chunrong Ai

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.

Suggested Citation

  • Chunrong Ai, 2001. "A Modified Average Derivatives Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 113-131.
    • Handle: RePEc:taf:emetrv:v:20:y:2001:i:1:p:113-131
    DOI: 10.1081/ETC-100104083
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    More about this item

    Keywords

    Nonparametric estimation; Functional dependency; Average derivatives estimator; JEL Classification: C2; C4;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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