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Keyword: semiparametric averaged derivatives;
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Yoshihiko Nishiyama and Peter M Robinson
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...Read more...
We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models....Read more...
A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged derivative estimates of single index models. The leading term that corrects the normal limit varies in mag...Read more...