Andrews, Donald W.K.; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2001
analyzed by Robinson (1995a), has a relatively slow rate of convergence and a finite sample bias that can be large. In this …), we establish the asymptotic bias, variance, mean-squared error (MSE), and normality of the LPW estimator. We determine … phi(lambda) is smooth enough near the origin, we find that the bias of the LPW estimator goes to zero at a faster rate …