Variable selection for semiparametric varying coefficient partially linear errors-in-variables models

Peixin Zhao and Liugen Xue

Journal of Multivariate Analysis, 2010, vol. 101, issue 8, 1872-1883

Abstract: This paper focuses on the variable selections for semiparametric varying coefficient partially linear models when the covariates in the parametric and nonparametric components are all measured with errors. A bias-corrected variable selection procedure is proposed by combining basis function approximations with shrinkage estimations. With appropriate selection of the tuning parameters, the consistency of the variable selection procedure and the oracle property of the regularized estimators are established. A simulation study and a real data application are undertaken to evaluate the finite sample performance of the proposed method.

Keywords: Semiparametric; varying; coefficient; partially; linear; model; Variable; selection; Measurement; errors; Shrinkage; estimation (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (21)

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