k nearest-neighbor estimation of inverse density weighted expectations

This letter considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k-Nearest Neighbor method. LÂ²-consistency is established. The proposed estimator is also shown to be asymptotically semiparametric efficient. Some limited Monte Carlo experiments show that the proposed estimator performs as good as alternative methods in finite sample applications.

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Year of publication:	2008
Authors:	Jacho-Chávez, David
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2008, 48, p. 1-6
Publisher:	AccessEcon
Subject:	Nearest neighbor

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

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