Nishiyama, Y and Robinson, Peter (1999) Studentization in Edgworth expansions for estimates of semiparametric index models. Econometrics; EM/1999/374, EM/99/374. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.
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