Second order approximation in a linear regression with heteroskedasticity of unknown form

DOI10.1080/07474939608800336zbMath0847.62057OpenAlexW2064103234MaRDI QIDQ4883723

Oliver B. Linton

Publication date: 29 August 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d11/d1151.pdf

zbMATH Keywords

asymptotic expansionslocal linear regressionstochastic expansionsbandwidth choicestandard errorsecond momentstruncated expansionstudentized statisticheteroskedasticity of unknown formstandardised semiparametric generalized least squares estimator

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (7)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution ⋮ Feasible generalized least squares using support vector regression ⋮ Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators ⋮ Higher-order approximations for frequency domain time series regression ⋮ Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics. ⋮ Higher order approximations for Wald statistics in time series regressions with integrated processes.

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