Estimating the error distribution function in semiparametric regression

Müller Ursula U., Schick Anton and Wefelmeyer Wolfgang

Statistics & Risk Modeling, 2007, vol. 25, issue 1, 1-18

Abstract: We prove a stochastic expansion for a residual-based estimator of the error distribution function in a partly linear regression model. It implies a functional central limit theorem. As special cases we cover nonparametric, nonlinear and linear regression models.

Keywords: local linear smoother; i.i.d. representation; Donsker class; efficiency (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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DOI: 10.1524/stnd.2007.25.1.1

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