Second order approximation in a linear regression with heteroskedasticity of unknown form
针对未知形式异方差的线性回归模型，推导了标准化半参数GLS估计量、标准误和学生化统计量的随机展开，并利用二阶矩近似比较估计量、选择带宽。
We develop stochastic expansions with remainder , where 0<μ<1/2, for a standardised semiparametric GLS estimator, a standard error, and a studentized statistic, in the linear regression model with heteroskedasticity of unknown form. We calculate the second moments of the truncated expansion, and use these approximations to compare two competing estimators and to define a method of bandwidth choice.