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Density Weighted Linear Least Squares

Author

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  • Newey, Whitney K.
  • Ruud, Paul A.

Abstract

We present asymptotic distribution theory for the inverse-density-weighted quasi-maximum likelihood estimator of semi-parametric index models proposed by Ruud. We also compare the performance of this estimator with the average derivative estimators proposed by Stoker.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Newey, Whitney K. & Ruud, Paul A., 1994. "Density Weighted Linear Least Squares," Department of Economics, Working Paper Series qt9fc2n3jc, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    • Handle: RePEc:cdl:econwp:qt9fc2n3jc
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    Cited by:

    1. Arthur Lewbel, 2000. "Asymptotic Trimming for Bounded Density Plug-in Estimators," Boston College Working Papers in Economics 479, Boston College Department of Economics, revised 30 Oct 2000.
    2. 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.
    3. Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005.
    4. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January.

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