A simple ordered data estimator for inverse density weighted expectations |
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Authors: | Arthur Lewbel Susanne M. Schennach |
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Affiliation: | 1. Department of Economics, Boston College, 140 Commonwealth Avenue, Chestnut Hill, MA 02467, USA;2. University of Chicago, USA |
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Abstract: | We consider estimation of means of functions that are scaled by an unknown density, or equivalently, integrals of conditional expectations. The “ordered data” estimator we provide is root n consistent, asymptotically normal, and is numerically extremely simple, involving little more than ordering the data and summing the results. No sample-size-dependent smoothing is required. A similarly simple estimator is provided for the limiting variance. The proofs include new limiting distribution results for functions of nearest-neighbor spacings. Potential applications include endogenous binary choice, willingness to pay, selection, and treatment models. |
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Keywords: | C14 C21 C25 J24 |
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