Nishiyama, Yoshihiko
(2001)
Higher order asymptotic theory for semiparametric averaged derivatives.
PhD thesis, London School of Economics and Political Science.
Abstract
This thesis investigates higher order asymptotic properties of a semiparametric averaged derivative estimator. Classical parametric models assume that we know the distribution function of random variables of interest up to finite dimensional parameters, while nonparametric models do not assume this knowledge. Parametric estimators typically enjoy - consistency and asymptotic normality under certain conditions, while nonparametric estimators converge to the true functionals of interest slower than parametric ones. Semiparametric estimators, a compromise between the two, have been intensively studied since the 1970s. Some of them have been shown to have the same convergence rate as parametric estimators despite involving nonparametric functional estimates. Semiparametric methods often suit econometrics because economic theory typically does not provide the whole information on economic variables which parametric methods require, and a sample of very large size is rarely available in econometrics. This thesis treats a semiparametric averaged derivative estimator of single index models. Its first order asymptotic theory has been studied since late 1980s. It has been shown to be n-consistent and asymptotically normally distributed under certain regularity conditions despite involving a nonparametric density estimate. However its higher order properties could be affected by the property of nonparametric estimates. We obtain valid Edgeworth expansions for both normalized and studentized estimators, and moreover show the bootstrap distribution approximates the exact distribution of the estimator asymptotically as well as the Edgeworth expansion for the normalized statistics. We propose optimal bandwidth choices which minimize the normal approximation error using the expansion. We also examine the finite sample performance of the Edgeworth expansions by a Monte Carlo study.
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