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A simple ordered data estimator for inverse density weighted expectations


  • Lewbel, Arthur
  • Schennach, Susanne M.


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  • 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.
  • Handle: RePEc:eee:econom:v:136:y:2007:i:1:p:189-211

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    References listed on IDEAS

    1. Mack, Y. P. & Müller, Hans-Georg, 1988. "Convolution type estimators for nonparametric regression," Statistics & Probability Letters, Elsevier, vol. 7(3), pages 229-239, December.
    2. Arthur Lewbel, 1998. "Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors," Econometrica, Econometric Society, vol. 66(1), pages 105-122, January.
    3. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-1382, November.
    4. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
    5. Lewbel, Arthur, 1997. "Semiparametric Estimation of Location and Other Discrete Choice Moments," Econometric Theory, Cambridge University Press, vol. 13(01), pages 32-51, February.
    6. Denis Cogneau & Eric Maurin, 2001. "Parental Income and School Attendance in a Low-Income Country : A Semi-parametric Analysis," Working Papers 2001-08, Center for Research in Economics and Statistics.
    7. Hall, Peter & Yatchew, Adonis, 2005. "Unified approach to testing functional hypotheses in semiparametric contexts," Journal of Econometrics, Elsevier, vol. 127(2), pages 225-252, August.
    8. Thierry Magnac & Eric Maurin, 2003. "Identification et Information in Monotone Binary Models," Working Papers 2003-07, Center for Research in Economics and Statistics.
    9. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
    10. Hall, Peter & Horowitz, Joel L., 1990. "Bandwidth Selection in Semiparametric Estimation of Censored Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 6(02), pages 123-150, June.
    11. Magnac, Thierry & Maurin, Eric, 2007. "Identification and information in monotone binary models," Journal of Econometrics, Elsevier, vol. 139(1), pages 76-104, July.
    12. Whitney K. Newey and Paul A. Ruud., 1994. "Density Weighted Linear Least Squares," Economics Working Papers 94-228, University of California at Berkeley.
    13. 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.
    14. Barbe, Philippe, 1994. "Joint approximation of processes based on spacings and order statistics," Stochastic Processes and their Applications, Elsevier, vol. 53(2), pages 339-349, October.
    15. Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, May.
    16. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    17. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
    18. Yatchew, A., 1997. "An elementary estimator of the partial linear model," Economics Letters, Elsevier, vol. 57(2), pages 135-143, December.
    19. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
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    Cited by:

    1. Yingying Dong & Arthur Lewbel, 2015. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
    2. Lewbel, Arthur, 2007. "Endogenous selection or treatment model estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 777-806, December.
    3. Stewart, Mark B., 2005. "A comparison of semiparametric estimators for the ordered response model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 555-573, April.
    4. Christophe Bontemps & Céline Nauges, 2016. "The Impact of Perceptions in Averting-decision Models: An Application of the Special Regressor Method to Drinking Water Choices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 98(1), pages 297-313.
    5. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
    6. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    7. Hitomi, Kohtaro & Nishiyama, Yoshihiko & Okui, Ryo, 2008. "A Puzzling Phenomenon In Semiparametric Estimation Problems With Infinite-Dimensional Nuisance Parameters," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1717-1728, December.
    8. Chu, Ba & Jacho-Chávez, David T., 2012. "k-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA," Econometric Theory, Cambridge University Press, vol. 28(04), pages 769-803, August.
    9. Denis Cogneau & Yannick Dupraz, 2014. "Questionable Inference on the Power of Pre-Colonial Institutions in Africa," PSE Working Papers halshs-01018548, HAL.
    10. William H. Greene & David A. Hensher, 2008. "Modeling Ordered Choices: A Primer and Recent Developments," Working Papers 08-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    11. Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Viewpoint: Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 809-829, August.
    12. repec:ebl:ecbull:v:3:y:2008:i:48:p:1-6 is not listed on IDEAS
    13. repec:kap:sbusec:v:50:y:2018:i:1:d:10.1007_s11187-017-9877-3 is not listed on IDEAS
    14. Bontemps, Christophe & Nauges, Céline, 2017. "Endogenous Variables in Binary Choice Models: Some Insights for Practitioners," TSE Working Papers 17-855, Toulouse School of Economics (TSE).
    15. David Jacho-Chávez, 2008. "k nearest-neighbor estimation of inverse density weighted expectations," Economics Bulletin, AccessEcon, vol. 3(48), pages 1-6.

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