5 papers
Local Regression Distribution Estimators
Matias D. Cattaneo, Michael Jansson, Xinwei Ma
This paper investigates the large sample properties of local regression distribution estimators, which include a class of boundary adaptive density estimators as a prime example. F…
lpdensity: Local Polynomial Density Estimation and Inference
Matias D. Cattaneo, Michael Jansson, Xinwei Ma
Density estimation and inference methods are widely used in empirical work. When the underlying distribution has compact support, conventional kernel-based density estimators are n…
Average Density Estimators: Efficiency and Bootstrap Consistency
Matias D. Cattaneo, Michael Jansson
This paper highlights a tension between semiparametric efficiency and bootstrap consistency in the context of a canonical semiparametric estimation problem, namely the problem of e…
Simple Local Polynomial Density Estimators
Matias D. Cattaneo, Michael Jansson, Xinwei Ma
This paper introduces an intuitive and easy-to-implement nonparametric density estimator based on local polynomial techniques. The estimator is fully boundary adaptive and automati…
Two-Step Estimation and Inference with Possibly Many Included Covariates
Matias D. Cattaneo, Michael Jansson, Xinwei Ma
We study the implications of including many covariates in a first-step estimate entering a two-step estimation procedure. We find that a first order bias emerges when the number of…