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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, 215).

Record type: Monograph (Discussion Paper)

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.

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Published date: 2002

Identifiers

Local EPrints ID: 33397
URI: http://eprints.soton.ac.uk/id/eprint/33397
PURE UUID: 74e97888-6ba5-4756-8b2c-e5a93f4f0dc0

Catalogue record

Date deposited: 18 May 2006

Contributors

Author: Anurag N. Banerjee

University divisions

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