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Density Weighted Linear Least Squares

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Author Info
Whitney K. Newey and Paul A. Ruud.
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.

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Publisher Info
Paper provided by University of California at Berkeley in its series Economics Working Papers with number 94-228.

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Date of creation: 01 Aug 1994
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Handle: RePEc:ucb:calbwp:94-228

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  1. 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. [Downloadable!]
  2. Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics. [Downloadable!]
    Other versions:
  3. 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. [Downloadable!]
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This page was last updated on 2009-10-31.

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