Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now Published in C Hsiao, K Morimune and J Powell (Eds): Nonlinear Statistical Modeling (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), Pp.197-240.)

Abstract

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