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st: RE: estimating the average slope and its standard error in anon-parametric regression


From   "FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: estimating the average slope and its standard error in anon-parametric regression
Date   Wed, 22 Dec 2004 12:54:41 -0600

The average slope of any continuous function f on an interval (a, b) is
(f(b)-f(a))/(b-a)
Its standard error would then be 2*Var(e)/(b-a)^2

Al Feiveson


-----Original Message-----
From: [email protected]
[mailto:[email protected]]On Behalf Of Marco Leonardi
Sent: Wednesday, December 22, 2004 3:47 AM
To: [email protected]
Subject: st: estimating the average slope and its standard error in
anon-parametric regression


Greetings,

I estimate a non parametric regression of the form y=g(x)+e using the STATA
command kernreg.

I am interested in the "slope" of the regression line g'(x), that is the
marginal effect on the conditional expectation g(x)=E(y|x) of a change in x.
Obviously the slope changes over the range of x.

Is there a simple way to estimate the average slope d=E[g'(x)] and its
standard error?

Many thanks



Marco Leonardi
Dipartimento Studi del Lavoro
Universit� degli Studi di Milano
Via Conservatorio 7
20122 Milano
tel: +39 02 50321162

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