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The Normal Approximation for Semiparametric Averaged Derivatives

P. M. Robinson
Econometrica
Vol. 63, No. 3 (May, 1995), pp. 667-680
Published by: The Econometric Society
DOI: 10.2307/2171912
Stable URL: http://www.jstor.org/stable/2171912
Page Count: 14
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The Normal Approximation for Semiparametric Averaged Derivatives
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Abstract

With the same normalization as that for standard parametric statistics, and centered at a parameter of interest, many semiparametric estimates based on n observations have been shown to be root-n-consistent and asymptotically normal. In the context of semiparametric averaged derivative estimates, we go further by showing that the rate of convergence of the finite-sample distribution to the normal limit distribution can equal that of standard parametric statistics.

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