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Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
- Publication Year :
- 2000
-
Abstract
- We stablish 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 emply 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 -? for some 0 < ? < ½, 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.
- Subjects :
- Economics and Econometrics
Polynomial smoothing
Local linear
Applied Mathematics
Instrumental variable
Kernel density estimation
Asymptotic distribution
Estimator
Wald test
jel:C14
Nonlinear system
Kernel method
Kernel (statistics)
Statistics
Applied mathematics
Bandwidth selection
Edgeworth approximation
instrumental variables
kernel estimation
local polynomials
Bandwidth selection, Edgeworth approximation, instrumental viariables, kernel estimation, local polynomials
Variable (mathematics)
Statistical hypothesis testing
Mathematics
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....35d828df60549fb73da6333e2f6db7ed