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k nearest-neighbor estimation of inverse density weighted expectations

Author

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  • David Jacho-Chávez

    (Indiana University)

Abstract

This letter considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-Nearest Neighbor method. L²-consistency is established. The proposed estimator is also shown to be asymptotically semiparametric efficient. Some limited Monte Carlo experiments show that the proposed estimator performs as good as alternative methods in finite sample applications.

Suggested Citation

  • David Jacho-Chávez, 2008. "k nearest-neighbor estimation of inverse density weighted expectations," Economics Bulletin, AccessEcon, vol. 3(48), pages 1-6.
    • Handle: RePEc:ebl:ecbull:eb-08c40005
    as

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    File URL: http://www.accessecon.com/pubs/EB/2008/Volume3/EB-08C40005A.pdf
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    References listed on IDEAS

    as
    1. Khan, Shakeeb & Lewbel, Arthur, 2007. "Weighted And Two-Stage Least Squares Estimation Of Semiparametric Truncated Regression Models," Econometric Theory, Cambridge University Press, vol. 23(2), pages 309-347, April.
    2. Zhenjuan Liu & Xuewen Lu & Zhenjuan Liu & Xuewen Lu, 1997. "Root-n-consistent semiparametric estimation of partially linear models based on k-nn method," Econometric Reviews, Taylor & Francis Journals, vol. 16(4), pages 411-420.
    3. Desheng Ouyang & Dong Li & Qi Li, 2006. "Cross-validation and non-parametric k nearest-neighbour estimation," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 448-471, November.
    4. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
    5. 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.
    6. Jacho-Chávez, David Tomás, 2010. "Optimal Bandwidth Choice For Estimation Of Inverse Conditional–Density–Weighted Expectations," Econometric Theory, Cambridge University Press, vol. 26(1), pages 94-118, February.
    7. 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.
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    Cited by:

    1. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.

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    More about this item

    Keywords

    Nearest neighbor;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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