Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form

Oliver Linton

No 1151, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We develop stochastic expansions with remainder oP(n-2 mu), where 0

Keywords: Semiparametric estimation; GLS; Heteroskedasticity; Local linear regression; Asymptotic expansions (search for similar items in EconPapers)
Pages: 34 pages
Date: 1997-05
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Citations: View citations in EconPapers (2)

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