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Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models

Published online by Cambridge University Press:  11 February 2009

Oliver Linton
Oliver Linton
Affiliation:
Yale University
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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.

Type
Research Article
Information
Econometric Theory , Volume 12 , Issue 1 , March 1996 , pp. 30 - 60
Copyright
Copyright © Cambridge University Press 1996

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References

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