Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
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.
Volume (Year): 12 (1996)
Issue (Month): 01 (March)
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References listed on IDEAS
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- Donald W.K. Andrews, 1988.
"Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models,"
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874R, Cowles Foundation for Research in Economics, Yale University, revised May 1989.
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