Statistical inference of partially linear regression models with heteroscedastic errors

JOURNAL OF MULTIVARIATE ANALYSIS

卷:98

Article

You, Jinhong ; Chen, Gemai ; Zhou, Yong

关键词: semiparametric regression model;    heteroscedasticity;    local polynomial;    asymptotic normality;    model selection;   

DOI  :  10.1016/j.jmva.2007.06.011

来源: Elsevier

【 摘 要 】

The authors study a heteroscedastic partially linear regression model and develop an inferential procedure for it. This includes a test of heteroscedasticity, a two-step estimator of the heteroscedastic variance function, semiparametric generalized least-squares estimators of the parametric and nonparametric components of the model, and a bootstrap goodness of fit test to see whether the nonparametric component can be parametrized. (c) 2007 Elsevier Inc. All rights reserved.

【 授权许可】

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