Carroll, Raymond J. Iturria, Stephen J. Gutierrez, Roberto G.
Year of Publication:
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,14
We use ideas from estimating function theory to derive new, simply computed consistent covariance matrix estimates in nonparametric regression and in a class of semiparametric problems. Unlike other estimates in the literature, ours do not require auxiliary or additional nonparametric regressions.