Semiparametric Estimation of Weighted Average Derivatives


This paper studies the estimation of the density-weighted average derivative of a general regression function. Let y denote a dependent variable. x a vector of explanatory variables, g(x)=E(yvx) the true regression function and h(x) the marginal density of x. The density-weighted average derivative of the regression function is =Efh(x)(ag/8x)l. We present a… (More)


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