Undersmoothing and Bias Corrected

Posted: 1 Jan 1999  

Whitney K. Newey

Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER)

Fushing Hsieh

Academia Sinica

James Robins

Harvard University - T.H. Chan School of Public Health

Date Written: October 1998

Abstract

There are many important examples of -consistently estimable functionals that are interesting in econometrics, such as average derivatives and nonparametric consumer surplus. Corresponding estimators may require undersmoothing to achieve -consistency, due to first order bias in the expected influence function. We give a general bias correction that can be added to a plug-in estimator to remove the need for undersmoothing and improve its higher order properties. We also describe a bootstrap smoothing correction for the nonparametric estimator that achieves analogous results for the plug-in estimator and show that idempotent transformations of the empirical distribution need not require undersmoothing for -consistency. We find that this bias correction can lead to large efficiency improvements and lower sensitivity to bandwidth choice.

JEL Classification: C13, C14

Suggested Citation

Newey, Whitney K. and Hsieh, Fushing and Robins, James, Undersmoothing and Bias Corrected (October 1998). MIT Department of Economics Working Paper No. 98-17. Available at SSRN: https://ssrn.com/abstract=141173

Whitney K. Newey (Contact Author)

Massachusetts Institute of Technology (MIT) - Department of Economics ( email )

50 Memorial Drive
E52-262D
Cambridge, MA 02142
United States
617-253-6420 (Phone)

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Fushing Hsieh

Academia Sinica

Nankang
Taipei, 11529
Taiwan

James Robins

Harvard University - T.H. Chan School of Public Health ( email )

677 Huntington Avenue
Boston, MA MA 02115
United States
617-432-0206 (Phone)
617-566-7805 (Fax)

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