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SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES

Published online by Cambridge University Press:  20 August 2013

Matias D. Cattaneo ,
Richard K. Crump  and
Michael Jansson
Matias D. Cattaneo
Affiliation:
University of Michigan
Richard K. Crump
Affiliation:
Federal Reserve Bank of New York
Michael Jansson
Affiliation:
UC Berkeley and CREATES
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Abstract

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (Econometrica 57, 1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels, and the standard errors are “robust” in the sense that they accommodate (but do not require) bandwidths that are smaller than those for which conventional standard errors are valid. Moreover, the results of a Monte Carlo experiment suggest that the finite sample coverage rates of confidence intervals constructed using the standard errors developed in this papercoincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths.

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 1 , February 2014 , pp. 176 - 200
Copyright
Copyright © Cambridge University Press 2013 

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