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.
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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.
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