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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.

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Identification Number: EM/00/397

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
Subjects: H Social Sciences > HB Economic Theory
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
Date Deposited: 27 Apr 2007
Last Modified: 27 Feb 2014 15:36
URI: http://eprints.lse.ac.uk/id/eprint/2092

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