Cross-Validation in Semiparametric Models: Some Monte Carlo Results

• Main Author: LEE, David K. C.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1990
• Subjects: Semiparametric; partly linear; errors-in-variables; generalised least squares; cross-validation; Econometrics; Management Sciences and Quantitative Methods
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3368; https://doi.org/10.1080/00949659008811303
• Institution: Singapore Management University

We present some Monte Carlo results on three semi parametric models, namely, partly linear, error-in-variables, and generalised least squares models. The results favour the use of computational expensive cross-validation criterion for bandwidth selection only when the relative sample size is large.