A simple ordered data estimator for inverse density weighted expectations

We consider estimation of means of functions that are scaled by an unknown density, or equivalently, integrals of conditional expectations. The “ordered data” estimator we provide is root n consistent, asymptotically normal, and is numerically extremely simple, involving little more than ordering th...

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Veröffentlicht in:	Journal of econometrics 2007, Vol.136 (1), p.189-211
Hauptverfasser:	Lewbel, Arthur, Schennach, Susanne M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Asymptotic methods Binary choice Binomial response Conditional expectation Data analysis Density estimation Econometrics Estimation Exact sciences and technology Inference from stochastic processes time series analysis Insurance, economics, finance Linear inference, regression Mathematical analysis Mathematics Nonparametric inference Parameter estimation Probability and statistics Sciences and techniques of general use Semiparametric Statistics Studies Willingness-to-pay
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