Resource title

Edgeworth approximations for semiparametric instrumental variable estimators and test statistics

Resource image

image for OpenScout resource :: Edgeworth approximations for semiparametric instrumental variable estimators and test statistics

Resource description

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 < є < ½, where є 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.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/2156/1/Edgeworth_Approximations_for_Semiparametric_Instrumental_Variable_Estimators_and_Test_Statistics.pdf

Resource license