Digitized by the Internet Archive in 2011 with Funding from Working Paper Department of Economics Kernel and a Estimation of Partial Means General Variance Estimator

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general "delta method" variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verifying them for particular estimators. The general results are applied to partial means, which are averages of kernel estimators over some of their arguments with other arguments held fixed. Partial means have econometric applications, such as consumer surplus estimation, and are useful for estimation of additive nonparametric models.