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

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Abstract

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

Suggested Citation

  • Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
    • Handle: RePEc:cwl:cwldpp:1151
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    References listed on IDEAS

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    7. Hardle, W. & Hart, J. & Marron, J. & Tsybakov, A., 1991. "Bandwidth choice for average derivative estimation," LIDAM Discussion Papers CORE 1991049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    23. Chesher, Andrew, 1989. "Hajek Inequalities, Measures of Leverage and the Size of Heteroskedasticity Robust Wald Tests," Econometrica, Econometric Society, vol. 57(4), pages 971-977, July.
    24. Sargan, J D, 1975. "Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators," Econometrica, Econometric Society, vol. 43(2), pages 327-346, March.
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    Cited by:

    1. Oliver Linton & Douglas Steigerwald, 2000. "Adaptive testing in arch models," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 145-174.
    2. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.

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