Semiparametric Varying Coefficient Models with Endogenous Covariates
نویسندگان
چکیده
منابع مشابه
Statistical Inference for Semiparametric Varying-coefficient Partially Linear Models with Error-prone Linear Covariates
We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also p...
متن کاملImputed Empirical Likelihood for Varying Coefficient Models with Missing Covariates
The empirical likelihood-based inference for varying coefficient models with missing covariates is investigated. An imputed empirical likelihood ratio function for the coefficient functions is proposed, and it is shown that iis limiting distribution is standard chi-squared. Then the corresponding confidence intervals for the regression coefficients are constructed. Some simulations show that th...
متن کاملFeature Selection for Varying Coefficient Models With Ultrahigh Dimensional Covariates.
This paper is concerned with feature screening and variable selection for varying coefficient models with ultrahigh dimensional covariates. We propose a new feature screening procedure for these models based on conditional correlation coefficient. We systematically study the theoretical properties of the proposed procedure, and establish their sure screening property and the ranking consistency...
متن کاملSemiparametric estimation with generated covariates
Semiparametric Estimation with Generated Covariates In this paper, we study a general class of semiparametric optimization estimators of a vectorvalued parameter. The criterion function depends on two types of infinite-dimensional nuisance parameters: a conditional expectation function that has been estimated nonparametrically using generated covariates, and another estimated function that is u...
متن کاملSemiparametric Estimation of Partially Linear Varying Coefficient Models with Time Trend and Nonstationary Regressors
This paper extends the partially linear varying coefficient model to contain time trend and nonstationary variables as regressors. We use the profile likelihood method to estimate both time trend coefficient in the linear component and the functional coefficients in the nonlinear component and establish their asymptotic distributions. Monte Carlo simulations are shown to investigate the finite ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2826639