Robust Data-Driven Inference for Density-Weighted Average Derivatives
This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error expansion of the estimator of interest. An extensive Monte Carlo experiment shows a remarkable improvement in performance when the bandwidth-dependent robust inference procedure proposed by Cattaneo, Crump, and Jansson (2009) is coupled with this new data-driven bandwidth selector. The resulting robust data-driven confidence intervals compare favorably to the alternative procedures available in the literature.
(This abstract was borrowed from another version of this item.)
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 105 (2010)
Issue (Month): 491 ()
|Contact details of provider:|| Web page: http://www.amstat.org/publications/jasa/index.cfm?fuseaction=main|
|Order Information:||Web: http://www.amstat.org/publications/index.html|
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.:
- Hardle, Wolfgang & Tsybakov, A. B., 1993.
"How sensitive are average derivatives?,"
Journal of Econometrics,
Elsevier, vol. 58(1-2), pages 31-48, July.
- Härdle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
- Hardle, W. & Tsybakov, A.B., 1992. "How Sensitive are Average Derivatives?," Papers 9208, Tilburg - Center for Economic Research.
- Hardle, W. & Tsybakov, A., 1991. "How sensitive are average derivates ?," CORE Discussion Papers 1991044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Horowitz, Joel & Hardle, Wolfgang, 1994.
"Direct Semiparametric Estimation of Single-Index Models With Discrete Covariates,"
94-22, University of Iowa, Department of Economics.
- J. L. HOROWITZ & Wolfgang HÄRDLE, 1994. "Direct Semiparametric Estimation of Single - Index Models with Discrete Covariates," SFB 373 Discussion Papers 1994,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Newey, W.K., 1991.
"The Asymptotic Variance of Semiparametric Estimators,"
583, Massachusetts Institute of Technology (MIT), Department of Economics.
- Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-1382, November.
- Newey, W.K., 1989. "The Asymptotic Variance Of Semiparametric Estimotors," Papers 346, Princeton, Department of Economics - Econometric Research Program.
- Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-680, May.
- Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
- Whitney K. Newey & Fushing Hsieh & James M. Robins, 2004. "Twicing Kernels and a Small Bias Property of Semiparametric Estimators," Econometrica, Econometric Society, vol. 72(3), pages 947-962, 05.
- Hidehiko Ichimura & Petra E. Todd, 2006.
"Implementing Nonparametric and Semiparametric Estimators,"
CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
- Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
- Haerdle,W. & Hart,J.D. & Marron,J.S. & Tsybakov,A.B., 1989.
"Bandwidth choice for average derivative estimation,"
Discussion Paper Serie A
200, University of Bonn, Germany.
- HÄRDLE, Wolfgang & HART, Jeffrey & MARRON, Steve & TSYBAKOV, Alexander, "undated". "Bandwith choice for average derivative estimation," CORE Discussion Papers RP 977, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W. & Hart, J. & Marron, J. & Tsybakov, A., 1991. "Bandwidth choice for average derivative estimation," CORE Discussion Papers 1991049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
- Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008.
"Small Bandwidth Asymptotics for Density-Weighted Average Derivatives,"
CREATES Research Papers
2008-24, Department of Economics and Business Economics, Aarhus University.
- Cattaneo, Matias D. & Crump, Richard K. & Jansson, Michael, 2014. "Small Bandwidth Asymptotics For Density-Weighted Average Derivatives," Econometric Theory, Cambridge University Press, vol. 30(01), pages 176-200, February.
When requesting a correction, please mention this item's handle: RePEc:bes:jnlasa:v:105:i:491:y:2010:p:1070-1083. 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: (Christopher F. Baum)
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.