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Keyword: semiparametric estimates;
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Yoshihiko Nishiyama and Peter M Robinson
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...