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Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors

文献类型：期刊论文

作者You, Jinhong2; Zhou, Xian1; Zhou, Yong3
刊名JOURNAL OF MULTIVARIATE ANALYSIS
出版日期2010-05-01
卷号101期号:5页码:1079-1101
关键词Asymptotic normality Heteroscedasticity One-way error component structure Panel data Partially linear model Semiparametric estimation
ISSN号0047-259X
DOI10.1016/j.jmva.2010.01.003
英文摘要We consider a panel data semiparametric partially linear regression model with an unknown parameter vector for the linear parametric component, an unknown nonparametric function for the nonlinear component, and a one-way error component structure which allows unequal error variances (referred to as heteroscedasticity). We develop procedures to detect heteroscedasticity and one-way error component structure, and propose a weighted semiparametric least squares estimator (WSLSE) of the parametric component in the presence of heteroscedasticity and/or one-way error component structure. This WSLSE is asymptotically more efficient than the usual semiparametric least squares estimator considered in the literature. The asymptotic properties of the WSLSE are derived. The nonparametric component of the model is estimated by the local polynomial method. Some simulations are conducted to demonstrate the finite sample performances of the proposed testing and estimation procedures. An example of application on a set of panel data of medical expenditures in Australia is also illustrated. (C) 2010 Elsevier Inc. All rights reserved.
资助项目National Natural Science Foundation of China (NSFC)[10731010] ; National Natural Science Foundation of China (NSFC)[10628104] ; National Basic Research Program[2007CB814902] ; Creative Research Groups of China[10721101] ; Leading Academic 211 Project for Shanghai University of Finance and Economics (the third phase)[B803]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000275504300004
出版者ELSEVIER INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/10858]  
专题应用数学研究所
通讯作者Zhou, Xian
作者单位1.Macquarie Univ, Dept Actuarial Studies, Sydney, NSW 2109, Australia
2.Shanghai Univ Finance & Econ, Dept Stat, Shanghai, Peoples R China
3.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 You, Jinhong,Zhou, Xian,Zhou, Yong. Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2010,101(5):1079-1101.
APA You, Jinhong,Zhou, Xian,&Zhou, Yong.(2010).Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors.JOURNAL OF MULTIVARIATE ANALYSIS,101(5),1079-1101.
MLA You, Jinhong,et al."Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors".JOURNAL OF MULTIVARIATE ANALYSIS 101.5(2010):1079-1101.

入库方式： OAI收割

来源：数学与系统科学研究院

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