Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form

We develop stochastic expansions with remainder oP(n-2 mu), where 0 < mu < 1/2, for a standardised semiparametric GLS estimator, a standard error, and a studentized statistic, in the linear regression model with heteroskedasticity of unknown form. We calculate the second moments of the truncated expansion, and use these approximations to compare two competing estimators and to define a method of bandwidth choice.

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Year of publication:	1997-05
Authors:	Linton, Oliver
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Semiparametric estimation \| GLS \| Heteroskedasticity \| Local linear regression \| Asymptotic expansions

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The price is None Number 1151 34 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005593539