Linton, Oliver (1995) Second order approximation in the partially linear regression model. Econometrica, 63 (5). pp. 1079-1112. ISSN 0012-9682
Full text not available from this repository.Abstract
We examine the second order properties of various quantities of interest in the partially linear regression model. We obtain a stochastic expansion with remainder op(n -2/4), where ,u < 1/2, for the standardized semiparametric least squares estimator,a standard error estimator, and a studentized statistic. We use the second order expansions to correct the standard error estimates for second order effects, and to define a method of bandwidth choice. A Monte Carlo experiment provides favorable evidence on our method of bandwidth choice.
| Item Type: | Article |
|---|---|
| Official URL: | http://eu.wiley.com/WileyCDA/WileyTitle/productCd-... |
| Additional Information: | © 1995 The Econometric Society |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 02 Jan 2024 23:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1427 |
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