We develop stochastic expansions with remainder [image omitted] , 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.
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Article provided by Taylor and Francis Journals in its journal Econometric Reviews.
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