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

文献类型：期刊论文

作者Ai, Chunrong1,2; You, Jinhong1; Zhou, Yong1,3
刊名JOURNAL OF MULTIVARIATE ANALYSIS
出版日期2011-03-01
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
DOI10.1016/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.
资助项目National Natural Science Foundation of China (NSFC)[11071154] ; 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 Discipline Program, 211 Project for Shanghai University of Finance and Economics ; [B803]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000286684400014
出版者ELSEVIER INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/12754]  
专题应用数学研究所
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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