Cookies?
Library Header Image
LSE Research Online LSE Library Services

Nonparametric estimation with aggregated data

Linton, Oliver and Whang, Yoon-Jae (2000) Nonparametric estimation with aggregated data. Econometrics; EM/2000/397, EM/00/397. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (371Kb) | Preview

Abstract

We introduce a kernel-based estimator of the density function and regression function for data that have been grouped into family totals. We allow for a common intra-family component but require that observations from different families be in dependent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behaviour of the characteristic function at infinity. We investigate the practical performance of our method in a simple Monte Carlo experiment.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2000 the authors
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C24 - Truncated and Censored Models
Sets: Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > LSE Financial Markets Group (FMG) Working Papers
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/00/397
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/2092/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only

Downloads

Downloads per month over past year

View more statistics