Penalized quadratic inference functions for semiparametric varying coefficient partially linear models with longitudinal data

Ruiqin Tian, Liugen Xue and Chunling Liu

Journal of Multivariate Analysis, 2014, vol. 132, issue C, 94-110

Abstract: In this paper, we focus on the variable selection for semiparametric varying coefficient partially linear models with longitudinal data. A new variable selection procedure is proposed based on the combination of the basis function approximations and quadratic inference functions. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the consistency and asymptotic normality of the resulting estimators. Extensive Monte Carlo simulation studies are conducted to examine the finite sample performance of the proposed variable selection procedure. We further illustrate the proposed procedure by an application.

Keywords: Semiparametric varying coefficient partially linear models; Variable selection; Longitudinal data; Quadratic inference functions (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2014.07.015

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