English, Article, Journal or magazine article edition: A Simple Ordered Data Estimator For Inverse Density Weighted Functions Arthur Lewbel; Susanne M. Schennach

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Bookmark: http://trove.nla.gov.au/version/73835
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Simple Ordered Data Estimator For Inverse Density Weighted Functions
Author
  • Arthur Lewbel
  • Susanne M. Schennach
Physical Description
  • preprint
Notes
  • We consider estimation of means of functions that are scaled by an unknown density, or equivalently, integrals of conditional expectations. The "ordered data" estimator we provide is root n consistent, asymptotically normal, and is numerically extremely simple, involving little more than ordering the data and summing the results. No sample size dependent smoothing is required. A similarly simple estimator is provided for the limiting variance. The proofs include new limiting distribution results for functions of nearest neighbor spacings. Potential applications include endogeneous binary choice, willingness to pay, selection, and treatment models.
  • Semiparametric, Conditional Expectation, Density Estimation, Binary Choice, Binomial Response
  • RePEc:boc:bocoec:557
Language
  • English
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