Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)

Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)

Yoshihiko Nishiyama and Peter M Robinson

Published October 1999

We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.

Paper Number EM/1999/374:

Download PDF - Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)