Jackknifing type weighted least squares estimators in partially linear regression models

Jinhong You, Xiaoqian Sun, Wan-kai Pang and Ping-kei Leung

Statistics & Probability Letters, 2002, vol. 60, issue 1, 17-31

Abstract: In a heteroskedastic partially linear regression model, You and Chen (Technical Report, Department of Mathematics and Statistics, University of Regina, 2000) proposed a semiparametric generalized least squares estimator (SGLSE). In this paper, a jackknife-type estimator of the asymptotic covariance matrix of the SGLSE is proposed. It is shown that this jackknife-type estimator is consistent and performs better than the usual [delta] method in some cases.

Keywords: Asymptotic; covariance; matrix; Consistency; Semiparametric; generalized; least; squares; estimator; (SGLSE) (search for similar items in EconPapers)
Date: 2002
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