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Generalized Jackknife Estimators of Weighted Average Derivatives

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Author Info

  • Matias D. Cattaneo

    ()
    (Department of Economics, University of Michigan)

  • Richard K. Crump

    ()
    (Federal Reserve Bank of New York)

  • Michael Jansson

    ()
    (University of California, Berkeley and CREATES)

Abstract

With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this paper revisits the large-sample properties of an important member of that class, namely a kernel-based weighted average derivative estimator. Asymptotic linearity of the estimator is established under weak conditions. Indeed, we show that the bandwidth conditions employed are necessary in some cases. A bias-corrected version of the estimator is proposed and shown to be asymptotically linear under yet weaker bandwidth conditions. Consistency of an analog estimator of the asymptotic variance is also established. To establish the results, a novel result on uniform convergence rates for kernel estimators is obtained.

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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 2011-12.

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Length: 43
Date of creation: 08 Apr 2011
Date of revision:
Handle: RePEc:aah:create:2011-12

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

Related research

Keywords: Semiparametric estimation; bias correction; uniform consistency.;

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Cited by:
  1. Enno Mammen & Christoph Rothe & Melanie Schienle, 2011. "Semiparametric Estimation with Generated Covariates," SFB 649 Discussion Papers SFB649DP2011-064, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric estimation and inference using doubly robust moment conditions," Textos para discussão 330, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  3. Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.

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