A method of estimating the average derivative: the multivariate case

Banerjee, Anurag N. (2002) A method of estimating the average derivative: the multivariate case. Southampton, UK, University of Southampton, 25pp. (Discussion Papers in Economics and Econometrics, 0215).


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The paper uses local linear regression to estimate the ``direct'' Average Derivative \delta = E(D[m(x)]), where m(x) is the regression function. The estimate of \delta is the weighted average of local slope estimates. We prove the asymptotic normality of the estimate under conditions which are different from the conditions used by Heardle-Stoker (H-S) (1989). Using Monte-Carlo simulation experiments we give some small sample results comparing our estimator with the H-S estimator under our conditions for asymptotic normality.

Item Type: Monograph (Discussion Paper)
Related URLs:
Subjects: H Social Sciences > HA Statistics
Divisions : University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33397
Accepted Date and Publication Date:
2002Made publicly available
Date Deposited: 18 May 2006
Last Modified: 27 Mar 2014 18:20
URI: http://eprints.soton.ac.uk/id/eprint/33397

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