SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS

Oliver Linton and Zhijie Xiao

Econometric Theory, 2001, vol. 17, issue 5, 984-1024

Abstract: 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.

Date: 2001
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Working Paper: Second-order approximation for adaptive regression estimators (2001)
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