Robust likelihood inference for regression parameters in partially linear models

Chung-Wei Shen, Tsung-Shan Tsou and N. Balakrishnan

Computational Statistics & Data Analysis, 2011, vol. 55, issue 4, 1696-1714

Abstract: A robust likelihood approach is proposed for inference about regression parameters in partially-linear models. More specifically, normality is adopted as the working model and is properly corrected to accomplish the objective. Knowledge about the true underlying random mechanism is not required for the proposed method. Simulations and illustrative examples demonstrate the usefulness of the proposed robust likelihood method, even in irregular situations caused by the components of the nonparametric smooth function in partially-linear models.

Keywords: Robust; likelihood; Generalized; additive; models; Partially-linear; models (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:4:p:1696-1714

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