GENERALIZED ADDITIVE PARTIAL LINEAR MODELS WITH HIGH-DIMENSIONAL COVARIATES

Heng Lian and Hua Liang

Econometric Theory, 2013, vol. 29, issue 6, 1136-1161

Abstract: This paper studies generalized additive partial linear models with high-dimensional covariates. We are interested in which components (including parametric and nonparametric components) are nonzero. The additive nonparametric functions are approximated by polynomial splines. We propose a doubly penalized procedure to obtain an initial estimate and then use the adaptive least absolute shrinkage and selection operator to identify nonzero components and to obtain the final selection and estimation results. We establish selection and estimation consistency of the estimator in addition to asymptotic normality for the estimator of the parametric components by employing a penalized quasi-likelihood. Thus our estimator is shown to have an asymptotic oracle property. Monte Carlo simulations show that the proposed procedure works well with moderate sample sizes.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:29:y:2013:i:06:p:1136-1161_00

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