Cross-Validation in Semiparametric Models: Some Monte Carlo Results
Publication Type
Journal Article
Publication Date
1990
Abstract
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.
Keywords
Semiparametric, partly linear, errors-in-variables, generalised least squares, cross-validation
Discipline
Econometrics | Management Sciences and Quantitative Methods
Research Areas
Quantitative Finance
Publication
Journal of Statistical Computation and Simulation
Volume
37
Issue
3-4
First Page
171
Last Page
187
ISSN
0094-9655
Identifier
10.1080/00949659008811303
Publisher
Taylor and Francis
Citation
LEE, David K. C..
Cross-Validation in Semiparametric Models: Some Monte Carlo Results. (1990). Journal of Statistical Computation and Simulation. 37, (3-4), 171-187.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/3368
Additional URL
https://doi.org/10.1080/00949659008811303
