Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing
用于估计与检验的非参数及半参数残差加权和的一致收敛
A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This expansion is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidths, random trimming, and estimated efficiency weights. Provided examples include a new estimator for a binary choice model with selection and an associated directional test for specification of this…