Linton, Oliver (1995) Second order approximation in the partially linear regression model. Econometrica, 63 (5). pp. 1079-1112. ISSN 0012-9682
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 |
| Uncontrolled Keywords: | semiparametric estimation, partially linear regression, kernel, local polynomial, second order approximations, bandwidth choice, asymptotic expansions |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods |
| Sets: | Departments > Economics Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/1427/ |
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