文章基本信息

标题：Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
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作者：Oliver Linton
期刊名称：Distributional Analysis Publications
印刷版ISSN：1352-2469
出版年度：2000
卷号：2000
出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：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.2.for some 0 < .< 2, where .depends on the smoothness and dimensionality of the data distribution and on the order of the polynomial chosen by the practitioner. We use the expansions to define optimal bandwidth selection methods for both estimation and testing problems and apply our methods to simulated data
关键词：Bandwidth selection; Edgeworth approximation; instrumental ;variables; kernel estimation; local polynomials