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

doi:10.1016/j.jmva.2010.01.003

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	Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors
	You, Jinhong 2; Zhou, Xian 1; Zhou, Yong3
	2010-05-01
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	101 期号:5 页码:1079-1101
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.
关键词	Asymptotic normality Heteroscedasticity One-way error component structure Panel data Partially linear model Semiparametric estimation
DOI	10.1016/j.jmva.2010.01.003
语种	英语
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
WOS类目	Statistics & Probability
WOS记录号	WOS:000275504300004
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10859
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.