Nonparametric least squares estimation in derivative families

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 157
Issue: 2
Pages: 362-374

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Cost function estimation often involves data on a function and a family of its derivatives. Such data can substantially improve convergence rates of nonparametric estimators. We propose series-type estimators which incorporate the various derivative data into a single nonparametric least-squares procedure. Convergence rates are obtained and it is shown that for low-dimensional cases, much of the beneficial impact is realized even if only data on ordinary first-order partials are available. In instances where root-n consistency is attained, smoothing parameters can often be chosen very easily, without resort to cross-validation. Simulations and an illustration of cost function estimation are included.

Technical Details

RePEc Handle
repec:eee:econom:v:157:y:2010:i:2:p:362-374
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29