Title

Efficient estimation of a semiparametric partially linear varying coefficient model

Authors

Authors

I. Ahmad; S. Leelahanon;Q. Li

Comments

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Abbreviated Journal Title

Ann. Stat.

Keywords

series estimation method; partially linear; varying coefficient; asymptotic normality; semiparametric efficiency; GENERALIZED CROSS-VALIDATION; REGRESSION-MODELS; ASYMPTOTIC NORMALITY; LOCAL ASYMPTOTICS; SERIES ESTIMATORS; LONGITUDINAL DATA; CP; Statistics & Probability

Abstract

In this paper we propose a general series method to estimate a semiparametric partially linear varying coefficient model. We establish the consistency and root n-normality property of the estimator of the finite-dimensional parameters of the model, We further show that, when the error is conditionally homoskedastic. this estimator is semiparametrically efficient in the sense that the inverse of the asymptotic variance of the estimator of the finite-dimensional parameter reaches the semiparametric efficiency bound of this model. A small-scale simulation is reported to examine the finite.sample performance of the proposed estimator, and an empirical application is presented to illustrate the usefulness of the proposed method in practice. We also discuss how to obtain an efficient estimation result when the error is conditional heteroskedastic.

Journal Title

Annals of Statistics

Volume

33

Issue/Number

1

Publication Date

1-1-2005

Document Type

Article

Language

English

First Page

258

Last Page

283

WOS Identifier

WOS:000228576800014

ISSN

0090-5364

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