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Statistical inference using a weighted difference-based series approach for partially linear regression models
Ai, Chunrong1,2; You, Jinhong1; Zhou, Yong1,3
2011-03-01
Source PublicationJOURNAL OF MULTIVARIATE ANALYSIS
ISSN0047-259X
Volume102Issue:3Pages:601-618
AbstractPartially 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.
KeywordPartially linear model Fixed effects Difference-based method Series approximation Weighted estimation Covariate selection
DOI10.1016/j.jmva.2010.11.004
Language英语
Funding ProjectNational 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 Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000286684400014
PublisherELSEVIER INC
Citation statistics
Cited Times:3[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/12755
Collection应用数学研究所
Affiliation1.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
Recommended Citation
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.
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