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Studentization in Edgworth expansions for estimates of semiparametric index models

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We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models.

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en

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application/pdf

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http://eprints.lse.ac.uk/2095/1/Studentization_in_Edgworth_Expansions_for_Estimates_of_Semiparametric_Index_Models.pdf

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