Estimating Derivatives of Function-Valued Parameters in a Class of   Moment Condition Models
  We develop a general approach to estimating the derivative of a function-valued parameter $\theta_o(u)$ that is identified for every value of $u$ as the solution to a moment condition. This setup in particular covers many interesting models for conditional distributions, such as quantile regression or distribution regression. Exploiting that $\theta_o(u)$ solves a moment condition, we obtain an explicit expression for its derivative from the Implicit Function Theorem, and estimate the components of this expression by suitable sample analogues, which requires the use of (local linear) smoothing. Our estimator can then be used for a variety of purposes, including the estimation of conditional density functions, quantile partial effects, and structural auction models in economics. 
Christoph Rothe, Dominik Wied
stat.ME