Second-order approximation for adaptive regression estimators

Oliver Linton and Zhijie Xiao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: C1 (search for similar items in EconPapers)
Date: 2001-10
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Citations: View citations in EconPapers (6)

Published in Econometric Theory, October, 2001, 17(5), pp. 984-1024. ISSN: 0266-4666

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Related works:
Journal Article: SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:317

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