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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 Amemiya), (Cambridge University Press, 2001), pp.197-240.)

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Author Info

  • Y Nishiyama
  • Peter M Robinson

Abstract

We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.

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File URL: http://sticerd.lse.ac.uk/dps/em/em374.pdf
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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /1999/374.

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Date of creation: Oct 1999
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Handle: RePEc:cep:stiecm:/1999/374

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Edgeworth expansions; semiparametric estimates; averaged derivatives;

References

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  1. Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
  2. Robinson, Peter M, 1982. "On the Asymptotic Properties of Estimators of Models Containing Limited Dependent Variables," Econometrica, Econometric Society, vol. 50(1), pages 27-41, January.
  3. Oliver Linton, 1994. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Cowles Foundation Discussion Papers 1086, Cowles Foundation for Research in Economics, Yale University.
  4. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
  5. Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-80, May.
  6. Y Nishiyama & Peter M. Robinson, 1999. "Edgeworth expansions for semiparametric averaged derivatives," LSE Research Online Documents on Economics 2132, London School of Economics and Political Science, LSE Library.
  7. Robinson, P M, 1991. "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models," Econometrica, Econometric Society, vol. 59(3), pages 755-86, May.
  8. Horowitz, Joel L., 1986. "A distribution-free least squares estimator for censored linear regression models," Journal of Econometrics, Elsevier, vol. 32(1), pages 59-84, June.
  9. Lee, Lung-Fei, 1992. "Semiparametic Nonlinear Least-Squares Estimation of Truncated Regression Models," Econometric Theory, Cambridge University Press, vol. 8(01), pages 52-94, March.
  10. Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
  11. Amemiya, Takeshi, 1973. "Regression Analysis when the Dependent Variable is Truncated Normal," Econometrica, Econometric Society, vol. 41(6), pages 997-1016, November.
  12. Amemiya, Takeshi, 1974. "Multivariate Regression and Simultaneous Equation Models when the Dependent Variables Are Truncated Normal," Econometrica, Econometric Society, vol. 42(6), pages 999-1012, November.
  13. repec:cup:etheor:v:12:y:1996:i:1:p:30-60 is not listed on IDEAS
  14. Amemiya, Takeshi, 1977. "The Maximum Likelihood and the Nonlinear Three-Stage Least Squares Estimator in the General Nonlinear Simultaneous Equation Model," Econometrica, Econometric Society, vol. 45(4), pages 955-68, May.
  15. Cheng, Bing & Robinson, P. M., 1994. "Semiparametric estimation from time series with long-range dependence," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 335-353.
  16. Amemiya, Takeshi & Powell, James L., 1981. "A comparison of the Box-Cox maximum likelihood estimator and the non-linear two-stage least squares estimator," Journal of Econometrics, Elsevier, vol. 17(3), pages 351-381, December.
  17. Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
  18. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
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