Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Oliver Linton

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We emply local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as special cases. Our expansions are valid to order n -? for some 0

Keywords: Bandwidth selection; Edgeworth approximation; instrumental viariables; kernel estimation; local polynomials. (search for similar items in EconPapers)
Date: 2000-07
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Related works:
Journal Article: Edgeworth approximations for semiparametric instrumental variable estimators and test statistics (2002)
Working Paper: Edgeworth approximations for semiparametric instrumental variable estimators and test statistics (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:399

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