Statistical inference using a weighted difference-based series approach for partially linear regression models

doi:10.1016/j.jmva.2010.11.004

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	Statistical inference using a weighted difference-based series approach for partially linear regression models
	Ai, Chunrong 1,2; You, Jinhong 1; Zhou, Yong 1,3
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2011-03
卷号	102 期号:3 页码:601-618
关键词	Partially linear model Fixed effects Difference-based method Series approximation Weighted estimation Covariate selection
ISSN号	0047-259X
DOI	10.1016/j.jmva.2010.11.004
英文摘要	Partially linear regression models with fixed effects are useful tools for making econometric analyses and normalizing microarray data. Baltagi and Li (2002) [7] proposed a computation friendly difference-based series estimation (DSE) for them. We show that the DSE is not asymptotically efficient in most cases and further propose a weighted difference-based series estimation (WDSE). The weights in it do not involve any unknown parameters. The asymptotic properties of the resulting estimators are established for both balanced and unbalanced cases, and it is shown that they achieve a semiparametric efficient boundary. Additionally, we propose a variable selection procedure for identifying significant covariates in the parametric part of the semiparametric fixed-effects regression model. The method is based on a combination of the nonconcave penalization (Fan and Li, 2001 [13]) and weighted difference-based series estimation techniques. The resulting estimators have the oracle property; that is, they can correctly identify the true model as if the true model (the subset of variables with nonvanishing coefficients) were known in advance. Simulation studies are conducted and an application is given to demonstrate the finite sample performance of the proposed procedures. (C) 2010 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000286684400014
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2296]
专题	上海财经大学
通讯作者	You, Jinhong
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Univ Florida, Dept Econ, Gainesville, FL 32611 USA; 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Ai, Chunrong,You, Jinhong,Zhou, Yong. Statistical inference using a weighted difference-based series approach for partially linear regression models[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2011,102(3):601-618.
APA	Ai, Chunrong,You, Jinhong,&Zhou, Yong.(2011).Statistical inference using a weighted difference-based series approach for partially linear regression models.JOURNAL OF MULTIVARIATE ANALYSIS,102(3),601-618.
MLA	Ai, Chunrong,et al."Statistical inference using a weighted difference-based series approach for partially linear regression models".JOURNAL OF MULTIVARIATE ANALYSIS 102.3(2011):601-618.