Spline-based sieve maximum likelihood estimation in the partly linear model under monotonicity constraints

Minggen Lu

Journal of Multivariate Analysis, 2010, vol. 101, issue 10, 2528-2542

Abstract: We study a spline-based likelihood method for the partly linear model with monotonicity constraints. We use monotone B-splines to approximate the monotone nonparametric function and apply the generalized Rosen algorithm to compute the estimators jointly. We show that the spline estimator of the nonparametric component achieves the possible optimal rate of convergence under the smooth assumption and that the estimator of the regression parameter is asymptotically normal and efficient. Moreover, a spline-based semiparametric likelihood ratio test is established to make inference of the regression parameter. Also an observed profile information method to consistently estimate the standard error of the spline estimator of the regression parameter is proposed. A simulation study is conducted to evaluate the finite sample performance of the proposed method. The method is illustrated by an air pollution study.

Keywords: Empirical; process; Generalized; Rosen; algorithm; Maximal; likelihood; method; Monotone; B-splines; Monte; Carlo (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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