This paper develops alternative asymptotic results for a large class of two-step semiparametric estimators. The first main result is an asymptotic distribution result for such estimators and differs from those obtained in earlier work on classes of semiparametric two-step estimators by...

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels and the standard errors...

Employing the "small bandwidth" asymptotic framework of Cattaneo, Crump, and Jansson (2009), this paper studies the properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged derivative estimator proposed by Powell, Stock, and...

Non-standard distributional approximations have received considerable attention in recent years. They often provide more accurate approximations in small samples, and theoretical improvements in some cases. This paper shows that the seemingly unrelated "?many instruments asymptotics" ?and...

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...

With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this paper revisits the large-sample properties of an important member of that class, namely a kernel-based weighted average derivative estimator. Asymptotic...