2ND-ORDER APPROXIMATION IN THE PARTIALLY LINEAR-REGRESSION MODEL

• 成果类型: Article
• 署名作者: LINTON, O
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.2307/2171722
• 发表日期: 1995
• 页码: 1079-1112
• 关键词: semiparametric estimation; COVARIANCE-MATRIX; Nonparametric Regression; DENSITY-ESTIMATION; convergence-rates; Selection models; consistent; heteroskedasticity; normality; series

摘要

We examine the second order properties of various quantities of interest in the partially linear regression model. We obtain a stochastic expansion with remainder o(p)(n(-2 mu)), where mu < 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.