Liu Estimator in Semiparametric Partially Linear Varying Coefficient Models

Jing Li and Xueyan Li

International Journal of Statistics and Probability, 2019, vol. 8, issue 6, 69

Abstract: This paper considers biased estimation for partially linear varying coefficient model to overcome the problem of multicollinearity. By the Liu estimation approach, we construct a profile Liu estimator for the constant coefficients. Furthermore, a restricted profile-Liu estimator is proposed for the situation that some additional linear restrictions are available. The properties of the proposed estimators are investigated.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ibn:ijspjl:v:8:y:2019:i:6:p:69

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