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Bootstrapping density-weighted average derivatives

Author

Listed:
  • Matias D. Cattaneo
  • Richard K. Crump
  • Michael Jansson

Abstract

Employing the "small-bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of several bootstrap-based inference procedures associated with a kernel-based estimator of density-weighted average derivatives proposed by Powell, Stock, and Stoker (1989). In many cases, the validity of bootstrap-based inference procedures is found to depend crucially on whether the bandwidth sequence satisfies a particular (asymptotic linearity) condition. An exception to this rule occurs for inference procedures involving a studentized estimator that employs a "robust" variance estimator derived from the "small-bandwidth" asymptotic framework. The results of a small-scale Monte Carlo experiment are found to be consistent with the theory and indicate in particular that sensitivity with respect to the bandwidth choice can be ameliorated by using the "robust" variance estimator.

Suggested Citation

  • Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2010. "Bootstrapping density-weighted average derivatives," Staff Reports 452, Federal Reserve Bank of New York.
  • Handle: RePEc:fip:fednsr:452
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    Cited by:

    1. Kotlyarova, Yulia & Schafgans, Marcia M. A. & Zinde‐Walsh, Victoria, 2011. "Adapting kernel estimation to uncertain smoothness," LSE Research Online Documents on Economics 42015, London School of Economics and Political Science, LSE Library.
    2. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 29(65), pages 106-175, June.
    3. Clara Machado & Carlos León & Miguel Sarmiento & Freddy Cepeda, 2011. "Riesgo Sistémico Y Estabilidad Del Sistema De Pagos De Alto Valor En Colombia: Análisis Bajo Topología De Redes Y Simulación De Pagos," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 29(65), pages 106-175, June.
    4. repec:cep:stiecm:/2011/557 is not listed on IDEAS

    More about this item

    Keywords

    Statistical methods ; Econometrics ; Econometrics - Asymptotic theory ; Econometric models;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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