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Kernel Estimation of Partial Means and aGeneral Variance Estimator

Published online by Cambridge University Press:  11 February 2009

Whitney K. Newey
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Abstract

Econometric applications of kernel estimators areproliferating, suggesting the need for convenientvariance estimates and conditions for asymptoticnormality. This paper develops a general“delta-method” variance estimator for functionals ofkernel estimators. Also, regularity conditions forasymptotic normality are given, along with a guideto verify them for particular estimators. Thegeneral results are applied to partial means, whichare averages of kernel estimators over some of theirarguments with other arguments held fixed. Partialmeans have econometric applications, such asconsumer surplus estimation, and are useful forestimation of additive nonparametric models.

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Type
Research Article
Information
Econometric Theory , Volume 10 , Issue 2 , June 1994 , pp. 1 - 21
Copyright
Copyright © Cambridge University Press 1994

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