Härdle, Wolfgang; Linton, Oliver; Xia, Yingcun - Suntory and Toyota International Centres for Economics … - 2009
In semiparametric models it is a common approach to under-smooth thenonparametric functions in order that estimators of the finite dimensionalparameters can achieve root-n consistency. The requirement of under-smoothingmay result as we show from inefficient estimation methods or technical...