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Edgeworth approximation for MINPIN estimators in semiparametric regression models

By Oliver Linton

Abstract

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

Topics: HB Economic Theory
Publisher: Cambridge University Press
Year: 1996
DOI identifier: 10.1017/S0266466600006435
OAI identifier: oai:eprints.lse.ac.uk:1306
Provided by: LSE Research Online
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