Kernel Estimation of Partial Means and a General Variance Estimator

Digitized by the Internet Archive in 2011 with Funding from Working Paper Department of Economics Kernel and a Estimation of Partial Means General Variance Estimator

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general "delta method" variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verifying them for particular estimators. The gen...

Variance Estimation for the General Regression Estimator

A variety of estimators of the variance of the general regression (GREG) estimator of a mean have been proposed in the sampling literature, mainly with the goal of estimating the design-based variance. Estimators can be easily constructed that, under certain conditions, are approximately unbiased for both the design-variance and the model-variance. Several dual-purpose estimators are studied he...

Statistically and Computationally Efficient Variance Estimator for Kernel Ridge

Variance Estimation and Construction of Confidence Intervals for GEE Estimator

Variance Estimation Using Replicated Batch Means

We present a new method for obtaining confidence intervals in steady-state simulation. In our replicated batch means method, we do a small number of independent replications to estimate the steady-state mean of the underlying stochastic process. In order to obtain a variance estimator, we further group the observations from these replications into nonoverlapping batches. We show that for large ...