Cross-Validation in Semiparametric Models: Some Monte Carlo Results

• 主要作者: LEE, David K. C.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1990
• 主題: Semiparametric; partly linear; errors-in-variables; generalised least squares; cross-validation; Econometrics; Management Sciences and Quantitative Methods
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/3368; https://doi.org/10.1080/00949659008811303

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.