CFDP 1151

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

Author(s): 

Publication Date: May 1997

Pages: 34

Abstract: 

We develop stochastic expansions with remainder oP(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.

Keywords: 

Semiparametric estimation, GLS, Heteroskedasticity, Local linear regression, Asymptotic expansions