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Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Linton, Oliver
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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 distributional approximation of the Edgeworth type.
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Article provided by Cambridge University Press in its journal Econometric Theory .
Volume (Year): 12 (1996)
Issue (Month): 01 (March)
Pages: 30-60
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Handle: RePEc:cup:etheor:v:12:y:1996:i:01:p:30-60_00Contact details of provider: Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK Fax: +44 (0)1223 325150 Email: Web page: http://journals.cambridge.org/jid_ECT
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Oliver Linton, 1993.
"Adaptive Estimation in ARCH Models ,"
Cowles Foundation Discussion Papers
1054, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Andrews, Donald W K, 1991.
"Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models ,"
Econometrica ,
Econometric Society, vol. 59(2), pages 307-45, March.
[Downloadable!] (restricted)
Other versions: Newey, Whitney K., 1988.
"Adaptive estimation of regression models via moment restrictions ,"
Journal of Econometrics ,
Elsevier, vol. 38(3), pages 301-339, July.
[Downloadable!] (restricted)
Phillips, Peter C B, 1977.
"A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators ,"
Econometrica ,
Econometric Society, vol. 45(6), pages 1517-34, September.
[Downloadable!] (restricted)
repec:cup:etheor:v:9:y:1993:i:4:p:539-69 is not listed on IDEAS
Charles Manski, 1984.
"Adaptive estimation of non-linear regression models ,"
Econometric Reviews ,
Taylor and Francis Journals, vol. 3(2), pages 145-194.
[Downloadable!] (restricted)
Newey, Whitney K, 1990.
"Semiparametric Efficiency Bounds ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 5(2), pages 99-135, April-Jun.
[Downloadable!] (restricted)
Wolfgang Hardle & Oliver Linton, 1994.
"Applied Nonparametric Methods ,"
Cowles Foundation Discussion Papers
1069, Cowles Foundation, Yale University.
[Downloadable!]
Other versions:
Hardle, W., 1992.
"Applied Nonparametric Methods ,"
Papers
9204, Catholique de Louvain - Institut de statistique.
Hardle, W., 1992.
"Applied Nonparametric Methods ,"
Papers
9206, Tilburg - Center for Economic Research.
Oliver LINTON, .
"Applied nonparametric methods ,"
Statistic und Oekonometrie
9312, Humboldt Universitaet Berlin.
[Downloadable!] Hardle, Wolfgang & Linton, Oliver, 1986.
"Applied nonparametric methods ,"
Handbook of Econometrics ,
in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339
Elsevier.
[Downloadable!] (restricted) Phillips, Peter C. B., 1977.
"An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator ,"
Journal of Econometrics ,
Elsevier, vol. 6(2), pages 147-164, September.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Dennis Kristensen, 2009.
"Semiparametric Modelling and Estimation: A Selective Overview ,"
CREATES Research Papers
2009-44, School of Economics and Management, University of Aarhus.
[Downloadable!]
Yanqin Fan & Oliver Linton, 1997.
"Some Higher Order Theory for a Consistent Nonparametric Model Specification Test ,"
Cowles Foundation Discussion Papers
1148, Cowles Foundation, Yale University.
[Downloadable!]
Y Nishiyama & Peter M Robinson, 1999.
"Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): Nonlinear Statistical Modeling (Festschrift for Takeshi A ,"
STICERD - Econometrics Paper Series
/1999/374, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
Oliver Linton, 2000.
"Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics ,"
STICERD - Econometrics Paper Series
/2000/399, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
Other versions: Hidehiko Ichimura & Oliver Linton, 2003.
"Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators ,"
STICERD - Econometrics Paper Series
/2003/451, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
[Downloadable!]
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This page was last updated on 2009-12-20.
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