Wiley-Blackwell on behalf of the Econometric Society
Doi
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
Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.