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Efficient estimation of partially linear varying coefficient models

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  • Long, Wei
  • Ouyang, Min
  • Shang, Ying

Abstract

In this paper, we consider the problem of estimating a semiparametric partially linear varying coefficient model. We derive the semiparametric efficiency bound for the asymptotic variance of the finite-dimensional parameter estimator. We also propose an efficient estimator for estimating the finite-dimensional parameter of the model. Simulation results show substantial efficiency gain of our proposed estimator over a conventional estimator as considered in Ahmad et al. (2005).

Suggested Citation

  • Long, Wei & Ouyang, Min & Shang, Ying, 2013. "Efficient estimation of partially linear varying coefficient models," Economics Letters, Elsevier, vol. 121(1), pages 79-81.
    • Handle: RePEc:eee:ecolet:v:121:y:2013:i:1:p:79-81
    DOI: 10.1016/j.econlet.2013.07.010
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    References listed on IDEAS

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    1. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
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    3. Qi Li & Juan Lin & Jeffrey S. Racine, 2013. "Optimal Bandwidth Selection for Nonparametric Conditional Distribution and Quantile Functions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 57-65, January.
    4. Li, Qi, et al, 2002. "Semiparametric Smooth Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 412-422, July.
    5. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    6. Yanyuan Ma & Jeng-Min Chiou & Naisyin Wang, 2006. "Efficient semiparametric estimator for heteroscedastic partially linear models," Biometrika, Biometrika Trust, vol. 93(1), pages 75-84, March.
    7. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    8. Chamberlain, Gary, 1992. "Efficiency Bounds for Semiparametric Regression," Econometrica, Econometric Society, vol. 60(3), pages 567-596, May.
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    Citations

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    Cited by:

    1. Fan, Guo-Liang & Liang, Han-Ying & Shen, Yu, 2016. "Penalized empirical likelihood for high-dimensional partially linear varying coefficient model with measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 183-201.
    2. Yan-Ting Xiao & Fu-Xiao Li, 2020. "Estimation in partially linear varying-coefficient errors-in-variables models with missing response variables," Computational Statistics, Springer, vol. 35(4), pages 1637-1658, December.

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    More about this item

    Keywords

    Partially linear; Varying coefficient; Semiparametric method; Efficient estimation; Simulation;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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