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Density weighted linear least squares. (English) Zbl 1126.62023
Andrews, Donald W. K. (ed.) et al., Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Cambridge: Cambridge University Press (ISBN 0-521-84441-X/hbk). 554-573 (2005).
Summary: This paper considers inverse density weighted least-squares estimation for slope coefficients of index models. The estimator permits discontinuities in the index function while imposing smoothness in the density of the regressors. We show consistency and asymptotic normality of the estimator and give a consistent estimator of the asymptotic variance. We also consider asymptotic efficiency and report results from a Monte Carlo study of the performance of the estimators. For the entire collection see [Zbl 1100.62623].

MSC:
62G05Nonparametric estimation
62G20Nonparametric asymptotic efficiency
65C05Monte Carlo methods