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Empirical likelihood based inference for semiparametric varying coefficient partially linear models with error-prone linear covariates

Author

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  • Huang, Zhensheng
  • Zhou, Zhangong
  • Jiang, Rong
  • Qian, Weimin
  • Zhang, Riquan

Abstract

This paper considers statistical inference for semiparametric varying coefficient partially linear models with error-prone linear covariates. An empirical likelihood based statistic for parametric component is developed to construct confidence regions. The resulting statistic is shown to be asymptotically chi-square distributed. By the empirical likelihood ratio function, the maximum empirical likelihood estimator of the parameter is defined and the asymptotic normality is shown. A simulation experiment is conducted to compare the empirical likelihood, normal based and the naive empirical likelihood methods in terms of coverage accuracies of confidence regions.

Suggested Citation

  • Huang, Zhensheng & Zhou, Zhangong & Jiang, Rong & Qian, Weimin & Zhang, Riquan, 2010. "Empirical likelihood based inference for semiparametric varying coefficient partially linear models with error-prone linear covariates," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 497-504, March.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:5-6:p:497-504
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    References listed on IDEAS

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    Cited by:

    1. Jiang, Rong & Qian, Wei-Min, 2016. "Quantile regression for single-index-coefficient regression models," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 305-317.
    2. Huang, Zhensheng & Pang, Zhen, 2012. "Corrected empirical likelihood inference for right-censored partially linear single-index model," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 276-284.
    3. Yih-Huei Huang & Chi-Chung Wen & Yu-Hua Hsu, 2015. "The Extensively Corrected Score for Measurement Error Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 911-924, December.
    4. Zhao, Yan-Yong & Lin, Jin-Guan & Xu, Pei-Rong & Ye, Xu-Guo, 2015. "Orthogonality-projection-based estimation for semi-varying coefficient models with heteroscedastic errors," Computational Statistics & Data Analysis, Elsevier, vol. 89(C), pages 204-221.
    5. Xing-cai Zhou & Jin-Guan Lin, 2014. "Empirical likelihood for varying-coefficient semiparametric mixed-effects errors-in-variables models with longitudinal data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(1), pages 51-69, March.
    6. Huang, Zhensheng, 2012. "Empirical likelihood for the parametric part in partially linear errors-in-function models," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 63-66.

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