Cross-Validation in Semiparametric Models: Some Monte Carlo Results

Author

David K. C. LEE, Singapore Management UniversityFollow

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