Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097524 | Journal of Econometrics | 2007 | 23 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Arthur Lewbel, Susanne M. Schennach,