Simple Edgeworth approximations for semiparametric averaged derivatives

Chuan Goh

Economics Bulletin, 2005, vol. 3, issue 50, 1-8

Abstract: This note proposes a computationally simple empirical Edgeworth expansion for the limiting distribution of a Studentized estimator of a semiparametric single index model. The estimator in question is the density-weighted averaged derivative estimator implemented according to the method of Powell, Stock and Stoker (1989). The coefficients of the expansion are derived from the cumulants of a bootstrap estimate of the distribution of the Studentized estimator. Monte Carlo evidence indicates finite-sample performance comparable to that of the empirical Edgeworth expansions proposed by Nishiyama and Robinson (2000).

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2005-11-30
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