Edgeworth approximations for semiparametric instrumental variable estimators and test statistics

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: 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 special cases. Our expansions are valid to order n �2є for some 0

Keywords: Bandwidth selection; Edgeworth approximation; instrumental variables; kernel estimation; local polynomials (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2000-07
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Edgeworth approximations for semiparametric instrumental variable estimators and test statistics (2002)
Working Paper: Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2156

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