Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
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چکیده
منابع مشابه
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
We establish 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 employ local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as sp...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2001
ISSN: 1556-5068
DOI: 10.2139/ssrn.241351