Others have developed average derivative estimators of the parameter β in the model E(Y|X = x) = G(xβ), where G is an unknown function and X is a random vector. These estimators are noniterative and easy to compute but require that X be continuously distributed. This article develops a noniterative, easily computed estimator of β for models in which some components of X are discrete. The estimator is n½ consistent and asymptotically normal. An application to data on product innovation by German manufacturers illustrates the estimator's usefulness.
- Average derivative estimation
- Index model
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty