Nishiyama, Y and Robinson, Peter M. (1999) Edgeworth expansions for semiparametric averaged derivatives. Econometrics; EM/1999/373 (EM/99/373). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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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.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 1999 Y Nishiyama and P M Robinson |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C24 - Truncated and Censored Models C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 11 Dec 2024 18:25 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2132 |
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