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Bootstrapping Density-Weighted Average Derivatives

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Author Info

  • Matias D. Cattaneo

    ()
    (University of Michigan)

  • Richard K. Crump

    ()
    (Federal Reserve Bank of New York)

  • Michael Jansson

    (UC Berkeley and CREATES)

Abstract

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and Stoker (1989). In many cases validity of bootstrap-based inference procedures is found to depend crucially on whether the bandwidth sequence satisfies a particular (asymptotic linearity) condition. An exception to this rule occurs for inference procedures involving a studentized estimator employing a "robust" variance estimator derived from the "small bandwidth" asymptotic framework. The results of a small-scale Monte Carlo experiment are found to be consistent with the theory and indicate in particular that sensitivity with respect to the bandwidth choice can be ameliorated by using the "robust"variance estimatorClassification-JEL: C12, C14, C21, C24

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Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-23.

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Length: 30
Date of creation: 17 May 2010
Date of revision:
Handle: RePEc:aah:create:2010-23

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Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Averaged derivatives; Bootstrap; Small bandwidth asymptotics;

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Cited by:
  1. Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde‐Walsh, 2011. "Adapting kernel estimation to uncertain smoothness," LSE Research Online Documents on Economics 42015, London School of Economics and Political Science, LSE Library.
  2. Clara Lia Machado & Carlos León & Miguel Sarmiento & Orlando Chipatecua, 2010. "Riesgo Sistémico y Estabilidad del Sistema de Pagos de Alto Valor en Colombia: Análisis bajo Topología de Redes y Simulación de Pagos," BORRADORES DE ECONOMIA 007669, BANCO DE LA REPÚBLICA.

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