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NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA

Published online by Cambridge University Press:  16 May 2002

Oliver Linton  and
Yoon-Jae Whang
Oliver Linton
Affiliation:
London School of Economics
Yoon-Jae Whang
Affiliation:
EWHA University
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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 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.

Type
Research Article
Information
Econometric Theory , Volume 18 , Issue 2 , April 2002 , pp. 420 - 468
Copyright
© 2002 Cambridge University Press

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