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- W3148781008 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." @default.
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- W3148781008 date "2001-01-01" @default.
- W3148781008 modified "2023-09-22" @default.
- W3148781008 title "Second-order approximation for adaptive regression estimators" @default.
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