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Asymptotically efficient estimation of weighted average derivatives with an interval censored variable

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  • Hiroaki Kaido
Abstract
This paper studies the identification and estimation of weighted average derivatives of conditional location functionals including conditional mean and conditional quantiles in settings where either the outcome variable or a regressor is interval-valued. Building on Manski and Tamer (2002) who study nonparametric bounds for mean regression with interval data, we characterize the identified set of weighted average derivatives of regression functions. Since the weighted average derivatives do not rely on parametric specifications for the regression functions, the identified set is well-defined without any parametric assumptions. Under general conditions, the identified set is compact and convex and hence admits characterization by its support function. Using this characterization, we derive the semiparametric efficiency bound of the support function when the outcome variable is interval-valued. We illustrate efficient estimation by constructing an efficient estimator of the support function for the case of mean regression with an interval censored outcome.

Suggested Citation

  • Hiroaki Kaido, 2014. "Asymptotically efficient estimation of weighted average derivatives with an interval censored variable," CeMMAP working papers 03/14, Institute for Fiscal Studies.
    • Handle: RePEc:azt:cemmap:03/14
    DOI: 10.1920/wp.cem.2014.0314
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    Cited by:

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    2. Semenova, Vira, 2023. "Debiased machine learning of set-identified linear models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1725-1746.
    3. Vira Semenova, 2023. "Aggregated Intersection Bounds and Aggregated Minimax Values," Papers 2303.00982, arXiv.org, revised Jun 2024.

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