Bruce E. Hansen
The Integrated Mean Squared Error of Series Regression and a Rosenthal Hilbert-Space Inequality
Econometric Theory (2015)
This paper develops unifom approximations for the integrated mean squared error (IMSE) of nonparametric series regression estimators, including both least-squares and averaging least-squares estimators. To develop these approximations, we also generalize an important probability inequality of Rosenthal (1970, 1972) to the case of Hilbert-space valued random variables.
Download PDF file
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.