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Second Order Approximation in the Partially Linear Regression Model

  • Linton, Oliver

The author examines the second order properties of various quantities of interest in the partially linear regression model: a stochastic expansion with remainder of order n[superscript -2 mu] in distribution, where mu Copyright 1995 by The Econometric Society.

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 63 (1995)
Issue (Month): 5 (September)
Pages: 1079-1112

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Handle: RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1079-1112
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  1. Newey, W.K. & Powell, J.L. & Walker, J.R., 1990. "Semiparametric Estimation Of Selection Models: Some Empirical Results," Working papers 9001, Wisconsin Madison - Social Systems.
  2. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
  3. Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
  4. Robinson, P M, 1991. "Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models," Econometrica, Econometric Society, vol. 59(5), pages 1329-63, September.
  5. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-69, January.
  6. Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
  7. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July.
  8. Rothenberg, Thomas J, 1988. "Approximate Power Functions for Some Robust Tests of Regression Coefficients," Econometrica, Econometric Society, vol. 56(5), pages 997-1019, September.
  9. Chesher, Andrew & Jewitt, Ian, 1987. "The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 55(5), pages 1217-22, September.
  10. Newey, W.K., 1989. "Efficient Instrumental Variables Estimation Of Nonlinear Models," Papers 341, Princeton, Department of Economics - Econometric Research Program.
  11. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-83, September.
  12. Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
  13. Carroll,R. & Haerdle,W., 1988. "Second order effects in semiparametric weighted least squares regression," Discussion Paper Serie A 170, University of Bonn, Germany.
  14. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  15. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-45, March.
  16. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  17. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
  18. Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-25, July.
  19. Robinson, P M, 1988. "Semiparametric Econometrics: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(1), pages 35-51, January.
  20. Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
  21. repec:oup:restud:v:61:y:1994:i:2:p:291-303 is not listed on IDEAS
  22. Haerdle,W. & Hart,J.D. & Marron,J.S. & Tsybakov,A.B., 1989. "Bandwidth choice for average derivative estimation," Discussion Paper Serie A 200, University of Bonn, Germany.
  23. Rice, John, 1986. "Convergence rates for partially splined models," Statistics & Probability Letters, Elsevier, vol. 4(4), pages 203-208, June.
  24. Mikosch, T., 1991. "Functional limit theorems for random quadratic forms," Stochastic Processes and their Applications, Elsevier, vol. 37(1), pages 81-98, February.
  25. Hardle, W. & Hall, P. & Ichimura, H., 1991. "Optimal smoothing in single index models," CORE Discussion Papers 1991007, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. Newey, Whitney K, 1990. "Semiparametric Efficiency Bounds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(2), pages 99-135, April-Jun.
  27. repec:oup:restud:v:56:y:1989:i:4:p:511-34 is not listed on IDEAS
  28. Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-48, May.
  29. Rothernberg, Thomas J, 1984. "Hypothesis Testing in Linear Models When the Error Covariance Matrix Is Nonscalar," Econometrica, Econometric Society, vol. 52(4), pages 827-42, July.
  30. Robinson, P M, 1991. "Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models," Econometrica, Econometric Society, vol. 59(3), pages 755-86, May.
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