메뉴 건너뛰기




Volumn 30, Issue 1, 2014, Pages 176-200

Small bandwidth asymptotics for density-weighted average derivatives

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84896464569     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466613000169     Document Type: Article
Times cited : (46)

References (30)
  • 3
    • 34250109475 scopus 로고
    • A central limit theorem for generalized quadratic forms
    • de Jong, P. (1987) A central limit theorem for generalized quadratic forms. Probability Theory and Related Fields 75, 261-277.
    • (1987) Probability Theory and Related Fields , vol.75 , pp. 261-277
    • De Jong, P.1
  • 4
    • 0001618486 scopus 로고
    • Optimum kernel estimators of the mode
    • Eddy, W.F. (1980) Optimum kernel estimators of the mode. Annals of Statistics 8, 870-882.
    • (1980) Annals of Statistics , vol.8 , pp. 870-882
    • Eddy, W.F.1
  • 5
    • 0345775524 scopus 로고    scopus 로고
    • A central limit theorem for the sum of generalized linear and quadratic forms
    • Eubank, R.L. & S. Wang (1999) A central limit theorem for the sum of generalized linear and quadratic forms. Statistics 33, 85-91.
    • (1999) Statistics , vol.33 , pp. 85-91
    • Eubank, R.L.1    Wang, S.2
  • 6
    • 0037209655 scopus 로고    scopus 로고
    • Some higher-order theory for a consistent non-parametric model specification test
    • Fan, Y. & O. Linton (2003) Some higher-order theory for a consistent non-parametric model specification test. Journal of Statistical Planning and Inference 109, 125-154.
    • (2003) Journal of Statistical Planning and Inference , vol.109 , pp. 125-154
    • Fan, Y.1    Linton, O.2
  • 7
    • 0001744704 scopus 로고
    • A class of statistics with asymptotically normal distribution
    • Hoeffding, W. (1948) A class of statistics with asymptotically normal distribution. Annals of Mathematical Statistics 19, 293-325.
    • (1948) Annals of Mathematical Statistics , vol.19 , pp. 293-325
    • Hoeffding, W.1
  • 8
    • 0035539851 scopus 로고    scopus 로고
    • Direct estimation of the index coefficient in a singleindex model
    • Hristache, M., A. Juditsky, & V. Spokoiny (2001) Direct estimation of the index coefficient in a singleindex model. Annals of Statistics 29, 595-623.
    • (2001) Annals of Statistics , vol.29 , pp. 595-623
    • Hristache, M.1    Juditsky, A.2    Spokoiny, V.3
  • 9
    • 64849098992 scopus 로고    scopus 로고
    • Asymptotic expansions for some semi-parametric program evaluation estimators
    • In D.W.K. Andrews &J.H. Stock (eds.), Rothenberg Cambridge University Press.
    • Ichimura, H. & O. Linton (2005) Asymptotic expansions for some semi-parametric program evaluation estimators. In D.W.K. Andrews &J.H. Stock (eds.), Identification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, pp. 149-170. Cambridge University Press.
    • (2005) Identification and Inference in Econometric Models: Essays in Honor of Thomas J. , pp. 149-170
    • Ichimura, H.1    Linton, O.2
  • 10
    • 0009089198 scopus 로고
    • Limit theorems for a triangular scheme of U-statistics with applications to inter-point distances
    • Jammalamadaka, S.R. & S. Janson (1986) Limit theorems for a triangular scheme of U-statistics with applications to inter-point distances. Annals of Probability 14, 1347-1358.
    • (1986) Annals of Probability , vol.14 , pp. 1347-1358
    • Jammalamadaka, S.R.1    Janson, S.2
  • 11
    • 0041857888 scopus 로고    scopus 로고
    • Edgeworth expansion for U-statistics under miminal conditions
    • Jing, B.-Y. & Q.Wang (2003) Edgeworth expansion for U-statistics under miminal conditions. Annals of Statistics 31, 1376-1391.
    • (2003) Annals of Statistics , vol.31 , pp. 1376-1391
    • Jing, B.-Y.1    Wang, Q.2
  • 12
    • 0036374707 scopus 로고    scopus 로고
    • Heteroskedasticity-Autocorrelation robust standard errors using the Bartlett kernel without truncation
    • Kiefer, N.M. & T.J. Vogelsang (2002a) Heteroskedasticity- autocorrelation robust standard errors using the Bartlett kernel without truncation. Econometrica 70, 2093-2095.
    • (2002) Econometrica , vol.70 , pp. 2093-2095
    • Kiefer, N.M.1    Vogelsang, T.J.2
  • 13
    • 0036027152 scopus 로고    scopus 로고
    • Heteroskedasticity-Autocorrelation robust testing using bandwidth equal to sample size
    • Kiefer, N.M. & T.J. Vogelsang (2002b) Heteroskedasticity- Autocorrelation robust testing using bandwidth equal to sample size. Econometric Theory 18, 1350-1366.
    • (2002) Econometric Theory , vol.18 , pp. 1350-1366
    • Kiefer, N.M.1    Vogelsang, T.J.2
  • 14
    • 25644437026 scopus 로고    scopus 로고
    • A new asymptotic theory for heteroskedasticity-autocorrelation robust tests
    • Kiefer, N.M. & T.J. Vogelsang (2005) A new asymptotic theory for heteroskedasticity-autocorrelation robust tests. Econometric Theory 21, 1130-1164.
    • (2005) Econometric Theory , vol.21 , pp. 1130-1164
    • Kiefer, N.M.1    Vogelsang, T.J.2
  • 15
    • 0000328680 scopus 로고    scopus 로고
    • Simple robust testing of regression hypotheses
    • Kiefer, N.M., T.J. Vogelsang, & H. Bunzel (2000) Simple robust testing of regression hypotheses. Econometrica 68, 695-714.
    • (2000) Econometrica , vol.68 , pp. 695-714
    • Kiefer, N.M.1    Vogelsang, T.J.2    Bunzel, H.3
  • 16
    • 25644452170 scopus 로고
    • An improved formula for the asymptotic variance of spectrum estimates
    • Neave, H.R. (1970) An improved formula for the asymptotic variance of spectrum estimates. Annals of Mathematical Statistics 41, 70-77.
    • (1970) Annals of Mathematical Statistics , vol.41 , pp. 70-77
    • Neave, H.R.1
  • 17
    • 0000133467 scopus 로고
    • The asymptotic variance of semiparametric estimators
    • Newey, W.K. (1994) The asymptotic variance of semiparametric estimators. Econometrica 62, 1349-1382.
    • (1994) Econometrica , vol.62 , pp. 1349-1382
    • Newey, W.K.1
  • 18
    • 2642531109 scopus 로고    scopus 로고
    • Twicing kernels and a small bias property of semiparametric estimators
    • Newey, W.K., F. Hsieh, & J.M. Robins (2004) Twicing kernels and a small bias property of semiparametric estimators. Econometrica 72, 947-962.
    • (2004) Econometrica , vol.72 , pp. 947-962
    • Newey, W.K.1    Hsieh, F.2    Robins, J.M.3
  • 19
    • 70350096085 scopus 로고
    • Large sample estimation and hypothesis testing
    • In R.F. Engle, & D.L. McFadden (eds.),. North Holland
    • Newey, W.K. & D. McFadden (1994) Large sample estimation and hypothesis testing. In R.F. Engle, & D.L. McFadden (eds.), Handbook of Econometrics, vol. 4, pp. 2111-2245. North Holland.
    • (1994) Handbook of Econometrics , vol.4 , pp. 2111-2245
    • Newey, W.K.1    McFadden, D.2
  • 20
    • 0000708699 scopus 로고
    • Efficiency of weighted average derivative estimators and index models
    • Newey, W.K. & T.M. Stoker (1993) Efficiency of weighted average derivative estimators and index models. Econometrica 61, 1199-1223.
    • (1993) Econometrica , vol.61 , pp. 1199-1223
    • Newey, W.K.1    Stoker, T.M.2
  • 21
    • 0141530593 scopus 로고    scopus 로고
    • Edgeworth expansions for semiparametric averaged derivatives
    • Nishiyama, Y. & P.M. Robinson (2000) Edgeworth expansions for semiparametric averaged derivatives. Econometrica 68, 931-979.
    • (2000) Econometrica , vol.68 , pp. 931-979
    • Nishiyama, Y.1    Robinson, P.M.2
  • 22
    • 0344845595 scopus 로고    scopus 로고
    • Studentization in edgeworth expansions for estimates of semiparametric index models
    • In C. Hsiao, K. Morimune, & J.L. Powell (eds.),. Cambridge University Press
    • Nishiyama, Y. & P.M. Robinson (2001) Studentization in edgeworth expansions for estimates of semiparametric index models. In C. Hsiao, K. Morimune, & J.L. Powell (eds.), Nonlinear Statistical Modeling: Essays in Honor of Takeshi Amemiya, pp. 197-240. Cambridge University Press.
    • (2001) Nonlinear Statistical Modeling: Essays in Honor of Takeshi Amemiya , pp. 197-240
    • Nishiyama, Y.1    Robinson, P.M.2
  • 23
    • 27744577028 scopus 로고    scopus 로고
    • The bootstrap and the Edgeworth correction for semiparametric averaged derivatives
    • Nishiyama, Y. & P.M. Robinson (2005) The bootstrap and the Edgeworth correction for semiparametric averaged derivatives. Econometrica 73, 903-948.
    • (2005) Econometrica , vol.73 , pp. 903-948
    • Nishiyama, Y.1    Robinson, P.M.2
  • 24
    • 0001473437 scopus 로고
    • On estimation of a probability density function and mode
    • Parzen, E. (1962) On estimation of a probability density function and mode. Annals of Mathematical Statistics 33, 1065-1076.
    • (1962) Annals of Mathematical Statistics , vol.33 , pp. 1065-1076
    • Parzen, E.1
  • 25
    • 0001099098 scopus 로고
    • Semiparametric estimation of index coefficients
    • Powell, J.L., J.H. Stock, & T.M. Stoker (1989) Semiparametric estimation of index coefficients. Econometrica 57, 1403-1430.
    • (1989) Econometrica , vol.57 , pp. 1403-1430
    • Powell, J.L.1    Stock, J.H.2    Stoker, T.M.3
  • 26
    • 17544383191 scopus 로고    scopus 로고
    • Optimal bandwidth choice for density-weighted averages
    • Powell, J.L. & T.M. Stoker (1996) Optimal bandwidth choice for density-weighted averages. Journal of Econometrics 75, 291-316.
    • (1996) Journal of Econometrics , vol.75 , pp. 291-316
    • Powell, J.L.1    Stoker, T.M.2
  • 27
    • 0000218602 scopus 로고
    • Root-N-Consistent semiparametric regression
    • Robinson, P.M. (1988) Root-N-Consistent semiparametric regression. Econometrica 56, 931-954.
    • (1988) Econometrica , vol.56 , pp. 931-954
    • Robinson, P.M.1
  • 28
    • 0000947972 scopus 로고
    • The normal approximation for semiparametric averaged derivatives
    • Robinson, P.M. (1995) The normal approximation for semiparametric averaged derivatives. Econometrica 63, 667-680.
    • (1995) Econometrica , vol.63 , pp. 667-680
    • Robinson, P.M.1
  • 29
    • 0346977307 scopus 로고    scopus 로고
    • A simplified approach to computing efficiency bounds in semiparametric models
    • Severini, T.A. & G. Tripathi (2001) A simplified approach to computing efficiency bounds in semiparametric models. Journal of Econometrics 102, 23-66.
    • (2001) Journal of Econometrics , vol.102 , pp. 23-66
    • Severini, T.A.1    Tripathi, G.2
  • 30
    • 0000695077 scopus 로고
    • Consistent estimation of scaled coefficients
    • Stoker, T.M. (1986) Consistent estimation of scaled coefficients. Econometrica 54, 1461-1481.
    • (1986) Econometrica , vol.54 , pp. 1461-1481
    • Stoker, T.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.