Estimation of the covariance matrix in multivariate partially linear models

Marcin Przystalski

Journal of Multivariate Analysis, 2014, vol. 123, issue C, 380-385

Abstract: Multivariate partially linear models are generalizations of univariate partially linear models. In the literature, some estimators of treatment effects and nonparametric components have been proposed. In this note, the estimator of the covariance matrix in multivariate partially linear models is derived and some of its properties are given.

Keywords: Multivariate partially linear models; Estimation; Covariance matrix (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:123:y:2014:i:c:p:380-385

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DOI: 10.1016/j.jmva.2013.09.005

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