Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

Small Bandwidth Asymptotics for Density-Weighted Average Derivatives

Neyman Seminar
Mar 10, 2010, 04:00 PM - 05:00 PM | 1011 Evans Hall | Happening As Scheduled
Michael Jansson, Department of Economics, UC Berkeley (Speaker)
This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels and the standard errors are "robust" in the sense that they accommodate (but do not require) bandwidths...