Second order approximation in a linear regression with heteroskedasticity of unknown form
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Cites work
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- A General Approximation to the Distribution of Instrumental Variables Estimates
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- Approximate Power Functions for Some Robust Tests of Regression Coefficients
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- 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
- Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models
- Consistent nonparametric regression. Discussion
- Econometric Estimators and the Edgeworth Approximation
- Efficient Instrumental Variables Estimation of Nonlinear Models
- Estimation of heteroscedasticity in regression analysis
- Evaluation of the Distribution Function of the Two-Stage Least Squares Estimate
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- Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests
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- Local ancillarity
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- The Stochastic Difference Between Econometric Statistics
Cited in
(13)- Second-order risk structure of GLSE and MLE in a regression with a linear process
- Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Feasible generalized least squares using support vector regression
- 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
- Higher-order approximations for frequency domain time series regression
- scientific article; zbMATH DE number 3911488 (Why is no real title available?)
- Bias-corrected heterosced asticity robust covariance matrix (sandwich) estimators
- SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
- Second order representations of the least absolute deviation regression estimator
- scientific article; zbMATH DE number 1995706 (Why is no real title available?)
- Semiparametric weighted lease squares
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