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Edgeworth approximations for semiparametric instrumental variable estimators and test statistics

  • Linton, Oliver

We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We emply local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as special cases. Our expansions are valid to order n -? for some 0

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 106 (2002)
Issue (Month): 2 (February)
Pages: 325-368

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Handle: RePEc:eee:econom:v:106:y:2002:i:2:p:325-368
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July.
  2. Robinson, P M, 1995. "The Normal Approximation for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 63(3), pages 667-80, May.
  3. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
  4. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
  5. Linton, Oliver, 1996. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 12(01), pages 30-60, March.
  6. Härdle, W.K. & Tsybakov, A.B., 1992. "How sensitive are average derivatives?," Discussion Paper 1992-8, Tilburg University, Center for Economic Research.
  7. HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
  9. Y. Nishiyama & P. M. Robinson, 2000. "Edgeworth Expansions for Semiparametric Averaged Derivatives," Econometrica, Econometric Society, vol. 68(4), pages 931-980, July.
  10. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  11. Newey, W.K., 1989. "Efficient Instrumental Variables Estimation Of Nonlinear Models," Papers 341, Princeton, Department of Economics - Econometric Research Program.
  12. Hua, Liang & Ping, Cheng, 1993. "Second order asymptotic efficiency in a partial linear model," Statistics & Probability Letters, Elsevier, vol. 18(1), pages 73-84, August.
  13. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
  14. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
  15. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
  16. Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
  17. Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
  18. Peter C.B. Phillips & Joon Y. Park, 1986. "On the Formulation of Wald Tests of Nonlinear Restrictions," Cowles Foundation Discussion Papers 801, Cowles Foundation for Research in Economics, Yale University.
  19. J. L. Horowitz, 1995. "Bootstrap Methods In Econometrics: Theory And Numerical Performance," SFB 373 Discussion Papers 1995,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  20. Amemiya, Takeshi, 1974. "The nonlinear two-stage least-squares estimator," Journal of Econometrics, Elsevier, vol. 2(2), pages 105-110, July.
  21. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
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