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Second order approximation in the partially linear regression model

Linton, Oliver (1995) Second order approximation in the partially linear regression model. Econometrica, 63 (5). pp. 1079-1112. ISSN 0012-9682

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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:
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: 08 Jun 2024 18:57

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