A proof of the law of iterated expectations for continuous variables

Angrist and Pischke(2009) Mostly Harmless Econometricsの[31-2]。


A proof of the law of iterated expectations for continuously distributed with joint density , where is the conditional distribution of given and and are the marginal densities:










ゆっくり式を追っていけば大したことはないのであるが、この辺りを曖昧にしていると論文を読んでいてつまづく。