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A method of estimating the average derivative: the multivariate case

Record type: Monograph (Discussion Paper)

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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Citation

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).

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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

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Date deposited: 18 May 2006
Last modified: 17 Jul 2017 15:52

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Contributors

Author: Anurag N. Banerjee

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