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