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Edgeworth expansions for semiparametric averaged derivatives

Yoshihiko Nishiyama and Peter M. Robinson

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

Abstract: 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 magnitude, depending on the choice of bandwidth and kernel order. In general this term has order larger than the n -½ that prevails in standard parametric problems, but we find circumstances in which it is O(n -½), thereby extending the achievement of an n -½ Berry-Essen bound in Robinson (1995). A valid empirical Edgeworth expansion is also established. We also provide theoretical and empirical Edgeworth expansions for a studentized statistic, where the correction terms are different from those for the unstudentized case. We report a Monte Carlo study of finite sample performance.

Keywords: Edgeworth expansion; semiparametric estimates; averaged derivatives. (search for similar items in EconPapers)
JEL-codes: C21 C24 (search for similar items in EconPapers)
Pages: 22 pages
Date: 1999-10
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http://eprints.lse.ac.uk/2132/ Open access version. (application/pdf)

Related works:
Journal Article: Edgeworth Expansions for Semiparametric Averaged Derivatives (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2132

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