Local Linear Estimation in Partly Linear Models

Scott A. Hamilton and Young K. Truong

Journal of Multivariate Analysis, 1997, vol. 60, issue 1, 1-19

Abstract: Let (X, B, Y) denote a random vector such thatBandYare real-valued, andX[set membership, variant]2. Local linear estimates are used in the partial regression method for estimating the regression functionE(Y|X, B)=[alpha]B+m(X), where[alpha]is an unknown parameter, andm(·) is a smooth function. Under appropriate conditions, asymptotic distributions of estimates of[alpha]andm(·) are established. Moreover, it is shown that these estimates achieve the best possible rates of convergence in the indicated semi-parametric problems.

Keywords: partial; linear; models; semi-parametric; models; design-adaptive; nonparametric; regression; local; polynomial; estimator; optimal; rate; of; convergence (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (22)

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