Second order approximation in a linear regression with heteroskedasticity of unknown form
DOI10.1080/07474939608800336zbMATH Open0847.62057OpenAlexW2064103234MaRDI QIDQ4883723FDOQ4883723
Authors: Oliver 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
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local linear regressionasymptotic expansionsstochastic expansionsbandwidth choicestandard errorsecond momentstruncated expansionstudentized statisticheteroskedasticity of unknown formstandardised semiparametric generalized least squares estimator
Density estimation (62G07) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)
Cites Work
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
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- Title not available (Why is that?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Adapting for heteroscedasticity in linear models
- Estimation of heteroscedasticity in regression analysis
- Consistent nonparametric regression. Discussion
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Semiparametric efficiency bounds
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Root-N-Consistent Semiparametric Regression
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
- Multivariate locally weighted least squares regression
- The Stochastic Difference Between Econometric Statistics
- Approximate Power Functions for Some Robust Tests of Regression Coefficients
- Title not available (Why is that?)
- Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
- Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
- Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- A General Approximation to the Distribution of Instrumental Variables Estimates
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- Approximate Normality of Generalized Least Squares Estimates
- Econometric Estimators and the Edgeworth Approximation
- Nonparametric regression analysis of longitudinal data
- An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
- Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
- A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
- A multiplicative bias reduction method for nonparametric regression
- Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators
- Local ancillarity
- Tests of Additive Derivative Constraints
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
Cited In (13)
- Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
- Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
- Semiparametric weighted lease squares
- SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
- Higher-order approximations for frequency domain time series regression
- Second-order risk structure of GLSE and MLE in a regression with a linear process
- Second order representations of the least absolute deviation regression estimator
- Title not available (Why is that?)
- The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Title not available (Why is that?)
- Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form
- Feasible generalized least squares using support vector regression
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