Cattaneo, Matias D.; Crump, Richard K.; Jansson, Michael - School of Economics and Management, University of Aarhus - 2011
With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this paper revisits the large-sample properties of an important member of that class, namely a kernel-based weighted average derivative estimator. Asymptotic...