Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

DOI10.2307/1911033zbMath0651.62107OpenAlexW2072838328MaRDI QIDQ3796607

Peter M. Robinson

Publication date: 1987

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911033

zbMATH Keywords

adaptive estimationheteroskedasticityresidual varianceweighted least squares estimatorsmultiple regression modelnearest neighbor regressionnearest neighbor nonparametric regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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