Density Weighted Linear Least Squares

Preprint

preprint

Published in RePEc

Abstract

We present asymptotic distribution theory for the inverse-density-weighted quasi-maximum likelihood estimator of semi-parametric index models proposed by Ruud. We also compare the performance of this estimator with the average derivative estimators proposed by Stoker.

Keywords

AVERAGE DERIVATIVE ESTIMATORS
MAXIMUM LIKELIHOOD ESTIMATOR
ASYMPTOTIC DISTRIBUTION
PRESENT ASYMPTOTIC
DENSITY WEIGHTED
SEMI PARAMETRIC
WEIGHTED QUASI
QUASI MAXIMUM
INDEX MODELS

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Version 1, RePEc
Version 1, RePEc (Unconfirmed version)

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