Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) LSE RSS Contact Us YouTube Twitter


Econometrics Paper
The Bootstrap and the Edgeworth Correction for Semiparametric Averaged Derivatives
Yoshihiko Nishiyama and Peter M Robinson
January 2005
Paper No' EM/2005/483:
Full Paper (pdf)

JEL Classification: C14; C24

Tags: bootstrap; edgeworth correction; semiparametric averaged derivatives

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of interest, especially in sample sizes that are not enormous. We show that a bootstrap distribution achieves a valid Edgeworth correction in case of density-weighted averaged derivative estimates of semiparametric index models. Approaches to bias-reduction are discussed. We also develop a higher order expansion, to show that the bootstrap achieves a further reduction in size distortion in case of two-sided testing. The finite sample performance of the methods is investigated by means of Monte Carlo simulations from a Tobit model.