Advanced Search
MyIDEAS: Login to save this paper or follow this series

Nonstandard Estimation of Inverse Conditional Density-Weighted Expectations

Contents:

Author Info

  • Chuan Goh

Abstract

This paper is concerned with the semiparametric estimation of function means that are scaled by an unknown conditional density function. Parameters of this form arise naturally in the consideration of models where interest is focused on the expected value of an integral of a conditional expectation with respect to a continuously distributed “special regressor”' with unbounded support. In particular, a consistent and asymptotically normal estimator of an inverse conditional density-weighted average is proposed whose validity does not require data-dependent trimming or the subjective choice of smoothing parameters. The asymptotic normality result is also rate adaptive in the sense that it allows for the formulation of the usual Wald-type inference procedures without knowledge of the estimator's actual rate of convergence, which depends in general on the tail behaviour of the conditional density weight. The theory developed in this paper exploits recent results of Goh & Knight (2009) concerning the behaviour of estimated regression-quantile residuals. Simulation experiments illustrating the applicability of the procedure proposed here to a semiparametric binary-choice model are suggestive of good small-sample performance.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economics.utoronto.ca/public/workingPapers/tecipa-374.pdf
File Function: Main Text
Download Restriction: no

Bibliographic Info

Paper provided by University of Toronto, Department of Economics in its series Working Papers with number tecipa-374.

as in new window
Length: 27 pages
Date of creation: 30 Sep 2009
Date of revision:
Handle: RePEc:tor:tecipa:tecipa-374

Contact details of provider:
Postal: 150 St. George Street, Toronto, Ontario
Phone: (416) 978-5283

Related research

Keywords: Semiparametric; identification at infinity; special regressor; rate-adaptive; regression quantile;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Koenker, Roger & Park, Beum J., 1996. "An interior point algorithm for nonlinear quantile regression," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 265-283.
  2. Andrews, Donald W K & Schafgans, Marcia M A, 1998. "Semiparametric Estimation of the Intercept of a Sample Selection Model," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 497-517, July.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:tor:tecipa:tecipa-374. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePEc Maintainer).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.