Empirical likelihood for semiparametric regression model with missing response data

Liugen Xue and Dong Xue

Journal of Multivariate Analysis, 2011, vol. 102, issue 4, 723-740

Abstract: A bias-corrected technique for constructing the empirical likelihood ratio is used to study a semiparametric regression model with missing response data. We are interested in inference for the regression coefficients, the baseline function and the response mean. A class of empirical likelihood ratio functions for the parameters of interest is defined so that undersmoothing for estimating the baseline function is avoided. The existing data-driven algorithm is also valid for selecting an optimal bandwidth. Our approach is to directly calibrate the empirical log-likelihood ratio so that the resulting ratio is asymptotically chi-squared. Also, a class of estimators for the parameters of interest is constructed, their asymptotic distributions are obtained, and consistent estimators of asymptotic bias and variance are provided. Our results can be used to construct confidence intervals and bands for the parameters of interest. A simulation study is undertaken to compare the empirical likelihood with the normal approximation-based method in terms of coverage accuracies and average lengths of confidence intervals. An example for an AIDS clinical trial data set is used for illustrating our methods.

Keywords: Confidence; interval; Empirical; likelihood; Missing; response; data; Regression; coefficient; Semiparametric; regression; model (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (11)

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