Semiparametric efficient estimators in heteroscedastic error models

DOI10.1007/S10463-017-0622-0MaRDI QIDQ1733112zbMATH OpenOpenAlexFDO

Authors Mijeong Kim, Yanyuan Ma

Publication date 21 March 2019

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-017-0622-0

zbMATH Keywords

heteroscedasticityvariance functionsemiparametric methodCobb-Douglas cost modelstandardized regression error

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 4100415 (Why is no real title available?)
• scientific article; zbMATH DE number 1181283 (Why is no real title available?)
• scientific article; zbMATH DE number 3190252 (Why is no real title available?)
• A generalized normal distribution
• Adapting for heteroscedasticity in linear models
• Efficient semiparametric estimator for heteroscedastic partially linear models
• Estimation for a linear regression model with unknown diagonal covariance matrix
• On a semiparametric variance function model and a test for heteroscedasticity
• Robust estimation in heteroscedastic linear models
• Semiparametric theory and missing data.
• The efficiency of the second-order nonlinear least squares estimator and its extension
• Variance function additive partial linear models
• Variance function partially linear single-index models

Cited in

(6)

• Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data
• Appropriate use of parametric and nonparametric methods in estimating regression models with various shapes of errors
• Statistical inference for a semiparametric measurement error regression model with hetero\-scedastic errors
• Semiparametric efficiency for censored linear regression models with heteroskedastic errors
• Efficient estimation of regression models with heteroscedastic errors
• Exact finite-sample relative efficiency of suboptimally weighted least squares estimators in models with ordered heteroscedasticity

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