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Kernel Estimation of Partial Means and a General Variance Estimator

Published online by Cambridge University Press:  11 February 2009

Whitney K. Newey
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Abstract

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general “delta-method” variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verify them for particular estimators. The general results are applied to partial means, which are averages of kernel estimators over some of their arguments with other arguments held fixed. Partial means have econometric applications, such as consumer surplus estimation, and are useful for estimation of additive nonparametric models.

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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