Studentization in Edgworth expansions for estimates of semiparametric index models

Yoshihiko Nishiyama and Peter Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.

Keywords: Edgeworth expansions; semiparametric estimates; averaged derivatives (search for similar items in EconPapers)
JEL-codes: C21 C24 (search for similar items in EconPapers)
Pages: 48 pages
Date: 1999-10
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2095

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