Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form

Authors

Oliver B. Linton

Document Type

Discussion Paper

Publication Date

5-1-1997

CFDP Number

1151

CFDP Pages

34

Abstract

We develop stochastic expansions with remainder o P ( n –2µ ), where 0 < µ < 1/2, for a standardised semiparametric GLS estimator, a standard error, and a studentized statistic, in the linear regression model with heteroskedasticity of unknown form. We calculate the second moments of the truncated expansion, and use these approximations to compare two competing estimators and to define a method of bandwidth choice.

Recommended Citation

Linton, Oliver B., "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form" (1997). Cowles Foundation Discussion Papers. 1399.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1399