Semiparametric GEE Analysis in Partially Linear Single-Index Models for Longitudinal Data

Jia Chen, Degui Li, Hua Liang and Suojin Wang

Discussion Papers from Department of Economics, University of York

Abstract: In this article, we study a partially linear single-index model for longitudinal data under a general framework which includes both the sparse and dense longitudinal data cases. A semiparametric estimation method based on the combination of the local linear smoothing and generalized estimation equations (GEE) is introduced to estimate the two parameter vectors as well as the unknown link function. Under some mild conditions, we derive the asymptotic properties of the proposed parametric and nonparametric estimators in different scenarios, from which we find that the convergence rates and asymptotic variances of the proposed estimators for sparse longitudinal data would be substantially different from those for dense longitudinal data. We also discuss the estimation of the covariance (or weight) matrices involved in the semiparametric GEE method. Furthermore, we provide some numerical studies to illustrate our methodology and theory.

Keywords: GEE; local linear smoothing; longitudinal data; semiparametric estimation; single-index models. (search for similar items in EconPapers)
JEL-codes: C13 C14 C33 (search for similar items in EconPapers)
Date: 2014-04
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:14/26

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