COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1086

Edgeworth Approximation for MINPIN Estimators
in Semiparametric Regression Models

Oliver Linton

November 1994

We examine the higher order asymptotic properties of semiparametric regression estimators that were obtained by the general MINPIN method described in Andrews (1989). We derive an order n^–1 stochastic expansion and give a theorem justifying order n – 1 distributional approximation of the Edgeworth type.