# 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).

 Preview
PDF

## Description/Abstract

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) http://www.southampton.ac.uk/s...?Year=2002 H Social Sciences > HA Statistics University Structure - Pre August 2011 > School of Social Sciences > Economics 33397 18 May 2006 27 Mar 2014 18:20 http://eprints.soton.ac.uk/id/eprint/33397

 View Item