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A Method of Estimating the Average Derivative

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  • BANERJEE , Anurag N.

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

This work describes a method of estimating the Average Derivative [ delta ]= E(m') (where 'm' is the regression function). The method unlike Hardie-Stoker (JASA, 1989) method, uses local linear regression, and is a "direct" estimate of [ delta ]. Some large sample properties have been obtained, and the two methods have been compared using simulation studies.

Suggested Citation

  • BANERJEE , Anurag N., 1994. "A Method of Estimating the Average Derivative," LIDAM Discussion Papers CORE 1994003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1994003
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1994.html
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    Cited by:

    1. Banerjee, Anurag N., 2002. "A method of estimating the average derivative: the multivariate case," Discussion Paper Series In Economics And Econometrics 215, Economics Division, School of Social Sciences, University of Southampton.
    2. Banerjee, Anurag, 2007. "A method of estimating the average derivative," Journal of Econometrics, Elsevier, vol. 136(1), pages 65-88, January.
    3. Banerjee Anurag & Pitarakis Jean-Yves, 2014. "Functional cointegration: definition and nonparametric estimation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 1-14, December.
    4. Banerjee, Anurag N., 2002. "A method of estimating the average derivative: the multivariate case," Discussion Paper Series In Economics And Econometrics 0215, Economics Division, School of Social Sciences, University of Southampton.

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