Universität zu Köln

Rothe, Christoph and Wied, Dominik (2020). Estimating derivatives of function-valued parameters in a class of moment condition models. J. Econom., 217 (1). S. 1 - 20. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1872-6895

Full text not available from this repository.

Abstract

We develop a general approach to estimating the derivative of a function-valued parameter theta(o)(u) that is identified for every value of u as the solution to a moment condition. This setup in particular covers interesting models for conditional distributions, such as quantile regression or distribution regression. Exploiting that theta(o)(u) solves a moment condition, we obtain an explicit expression for its derivative from the Implicit Function Theorem, and then estimate the components of this expression by suitable sample analogues. The last step generally involves (local linear) smoothing of the empirical moment condition. Our estimators can then be used for a variety of purposes, including the estimation of conditional density functions, quantile partial effects, and the distribution of bidders' valuations in structural auction models. (C) 2019 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Rothe, Christoph UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-328716
DOI:	10.1016/j.jeconom.2019.11.004
Journal or Publication Title:	J. Econom.
Volume:	217
Number:	1
Page Range:	S. 1 - 20
Date:	2020
Publisher:	ELSEVIER SCIENCE SA
Place of Publication:	LAUSANNE
ISSN:	1872-6895
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language NONPARAMETRIC-ESTIMATION; INFERENCE Multiple languages Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/32871