Lewbel, Arthur; Escanciano, Juan Carlos; Jacho-Chavez, David - Department of Economics, Boston College - 2010
A new uniform expansion is introduced for sums of weighted kernel-based regression residuals from nonparametric or semiparametric models. This result is useful for deriving asymptotic properties of semiparametric estimators and test statistics with data-dependent bandwidth, random trimming, and...