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Consistent estimation of density-weighted average derivative by orthogonal series method

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  • Prakasa Rao, B. L. S.

Abstract

The problem of estimation of density-weighted average derivative is of interest in econometric problems, especially in the context of estimation of coefficients in index models. Here we propose a consistent estimator based on the orthogonal series method. Earlier work on this problem dealt with kernel method of estimation.

Suggested Citation

  • Prakasa Rao, B. L. S., 1995. "Consistent estimation of density-weighted average derivative by orthogonal series method," Statistics & Probability Letters, Elsevier, vol. 22(3), pages 205-212, February.
    • Handle: RePEc:eee:stapro:v:22:y:1995:i:3:p:205-212
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    References listed on IDEAS

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    1. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-1481, November.
    2. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-1430, November.
    3. Thomas M. Stoker, 1989. "Tests of Additive Derivative Constraints," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 56(4), pages 535-552.
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