Hostname: page-component-74656f9884-c52kr Total loading time: 0 Render date: 2026-11-08T23:04:58.269Z Has data issue: false hasContentIssue false

SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS

Published online by Cambridge University Press:  25 September 2001

Oliver Linton
Affiliation:
London School of Economics and Yale University
Zhijie Xiao
Affiliation:
University of Illinois at Urbana-Champaign
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

We derive asymptotic expansions for semiparametric adaptive regression estimators. In particular, we derive the asymptotic distribution of the second-order effect of an adaptive estimator in a linear regression whose error density is of unknown functional form. We then show how the choice of smoothing parameters influences the estimator through higher order terms. A method of bandwidth selection is defined by minimizing the second-order mean squared error. We examine both independent and time series regressors; we also extend our results to a t-statistic. Monte Carlo simulations confirm the second order theory and the usefulness of the bandwidth selection method.

Information

Type
Research Article
Copyright
© 2001 Cambridge University Press