Abstract: In this paper, we derive the asymptotic properties of the density-weighted average derivative estimator when a regressor is contaminated with classical measurement error and the density of this error must be estimated. Average derivatives of conditional mean functions are used extensively in economics and statistics, most notably in semiparametric index models. As well as ordinary smooth measurement error, we provide results for supersmooth error distributions. This is a particularly important class of error distribution as it includes the Gaus...
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Topics: 
Statistics
Applied mathematics