The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Sep, 1993, Volume 61, Issue 5
https://doi.org/0012-9682(199309)61:5<1199:EOWADE>2.0.CO;2-X
p. 1199-1223
Thomas M. Stoker, Whitney K. Newey
Weighted average derivatives are useful parameters for semiparametric index models and nonparametric demand analysis. This paper gives efficiency results for average derivative estimators, including formulating estimators that have high efficiency. Our analysis is carried out in three steps. First, we derive the efficiency bound for weighted average derivatives of conditional location functionals, such as the conditional mean and median. Second, we derive the efficiency bound for semiparametric index models, where the location measure depends only on indices, or linear combinations of the regressors. Third, we compare the bound for index models with the asymptotic variance of weighted average derivative estimators of the index coefficients. We characterize the form of the optimal weight function when the distribution of the regressors is elliptically symmetric. In more general cases, we discuss how to combine estimators with different weight functions to achieve efficiency. We derive a general condition for approximate efficiency of pooled (minimum chi square) estimators for index model coefficients, based on weighted average derivatives. Finally, we discuss ways of selecting the type and number of weighting functions to achieve high efficiency.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
