Second Order Approximation in the Partially Linear Regression Model
研究了部分线性回归模型中多种量的二阶性质，得到了标准化半参数最小二乘估计量、标准误估计量和学生化统计量的随机展开，并用二阶展开修正标准误估计和定义带宽选择方法，蒙特卡洛实验支持该带宽选择方法。
We examine the second order properties of various quantities of interest in the partially linear regression model. We obtain a stochastic expansion with remainder op(n -2/4), where ,u < 1/2, for the standardized semiparametric least squares estimator, a standard error estimator, and a studentized statistic. We use the second order expansions to correct the standard error estimates for second order effects, and to define a method of bandwidth choice. A Monte Carlo experiment provides favorable evidence on our method of bandwidth choice.