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Edgeworth approximation for MINPIN estimators in semiparametric regression models

Linton, Oliver (1996) Edgeworth approximation for MINPIN estimators in semiparametric regression models. Econometric Theory, 12 (1). pp. 30-60. ISSN 0266-4666

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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.

Item Type: Article
Official URL: http://journals.cambridge.org/action/displayJourna...
Additional Information: © 1996 Cambridge University Press
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1306/

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