Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models

Oliver Linton

Econometric Theory, 1996, vol. 12, issue 1, 30-60

Abstract: We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989, Semiparametric Econometric Models: I. Estimation, Discussion paper 908, Cowles Foundation). We derive an order n−1 stochastic expansion and give a theorem justifying order n−1 distributional approximation of the Edgeworth type.

Date: 1996
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Working Paper: Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models (1994)
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