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Econometrics Paper
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.)
Y Nishiyama and Peter M Robinson October 1999
Paper No' EM/1999/374:
Full Paper (pdf)

Tags: edgeworth expansions; semiparametric estimates; averaged derivatives

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