Search Results - subject:"small-bandwidth asymptotics"

Bootstrapping density-weighted average derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - 2010

Employing the 'small-bandwidth' asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of several bootstrap-based inference procedures associated with a kernel-based estimator of density-weighted average derivatives proposed by Powell, Stock, and Stoker...

Persistent link: https://www.econbiz.de/10010287093

Bootstrapping Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2010

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and...

Persistent link: https://www.econbiz.de/10008533203

Robust Data-Driven Inference for Density-Weighted Average Derivatives

Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2009

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in …-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density … the �small bandwidth�asymptotics described in Result 2, since n2 (h CCJ)d ! 1. In addition, observe that n 1hsn = o n 2h …

Persistent link: https://www.econbiz.de/10008459760