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Bandwidth choice for average derivative estimation

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Author Info

  • Haerdle,W.
  • Hart,J.D.
  • Marron,J.S.
  • Tsybakov,A.B.

    (Haerdle:University of Bonn Hart:Texas A&M University, Marron:University of North-Carolina Tsybakov:Academy of Sciences of the U.S.S.R.)

Abstract

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Bibliographic Info

Paper provided by University of Bonn, Germany in its series Discussion Paper Serie A with number 200.

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Date of creation: Mar 1989
Date of revision:
Handle: RePEc:bon:bonsfa:200

Contact details of provider:
Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
Fax: +49 228 73 6884
Web page: http://www.bgse.uni-bonn.de

Related research

Keywords: Average derivative; Bandwidth; Kernel estimators;

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Cited by:
  1. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1151, Cowles Foundation for Research in Economics, Yale University.
  2. Y. Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP12/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2010. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 105(491), pages 1070-1083.
  4. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1065, Cowles Foundation for Research in Economics, Yale University.
  5. Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics, Boston College Department of Economics 454, Boston College Department of Economics.
  6. Oliver Linton & Douglas G. Steigerwald, 1995. "Adaptive Testing in ARCH Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1105, Cowles Foundation for Research in Economics, Yale University.
  7. Powell, James L. & Stoker, Thomas M., 1992. "Optimal bandwidth choice for density-weighted averages," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 3424-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  8. Thomas Knox & James H. Stock & Mark W. Watson, 2001. "Empirical Bayes Forecasts of One Time Series Using Many Predictors," NBER Technical Working Papers 0269, National Bureau of Economic Research, Inc.

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