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Nonparametric estimation with aggregated data

Linton, Oliver and Whang, Yoon-Jae (2002) Nonparametric estimation with aggregated data. Econometric Theory, 18 (2). pp. 420-468. ISSN 1469-4360

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Identification Number: 10.1017.S0266466602182089


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 intrafamily component but require that observations from different families be independent. We establish consistency and asymptotic normality for our procedures. As usual, the rates of convergence can be very slow depending on the behavior of the characteristic function at infinity. We investigate the practical performance of our method in a simple Monte Carlo experiment.

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Divisions: Financial Markets Group
Subjects: H Social Sciences > HA Statistics
Date Deposited: 17 Feb 2008
Last Modified: 20 Feb 2021 01:15

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