We examine the second order properties of various quantities of interest in the partially linear regression model. We obtain a stochastic expansion with remainder o P ( n -2µ ), where µ < 1/2, for the standardized semiparametric least squares estimator, a standard error estimator, and a studentized statistic. We use the second order expansions to correct the standard error estimates for second order eﬀects, and to deﬁne a method of bandwidth choice. A Monte Carlo experiment provides favorable evidence on our method of bandwidth choice.
Linton, Oliver B., "Second Order Approximation in the Partially Linear Regression Model" (1993). Cowles Foundation Discussion Papers. 1308.