SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES

By Nobuhiro Kiyotaki, Gauti B. Eggertsson, A. Ferrero, Marco del Negro. Econometric Theory, 2013

111 citations recorded by the source corpus.

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (Econometrica 57, 1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels, and the standard errors are “robust” in the sense that they accommodate (but do not require) bandwidths that are smaller than those for which conventional standard errors are valid. Moreover, the results of a Monte Carlo experiment suggest that the finite sample coverage rates of confidence intervals constructed using the standard errors developed in this papercoincide (approximately) with the nominal coverage rates across a nontrivial range of bandwidths.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/0568e9eb14eddaf71fda979adeba2dfe19ab9295

Citations in the corpus

• Macroprudential and monetary policies: Implications for financial stability and welfare (2014, unknown): “(22) (14)See Kannan et al (2012) for a similar specification.”
• Endogenous Liquidity and the Business Cycle (2015, unknown): “KM or (del Negro et al., 2010)) do not have an obvious counterpart with credit-market conditions such as interest-rate spreads, lemons premia, default rates or loan sizes. Another feature is that adverse selection is aggravated when the returns to investment are low. This induces amplification of TF”
• Macroprudential Policy - A Literature Review (2012, unknown): “Del Negro et al. (2010) for example introduce a model with credit frictions of the form suggested by Kiyotaki and Moore (2008), as well as nominal wage and price frictions to show that the non-standard monetary policies followed by the Federal Reserve during the crisis prevented a repeat of the…”