Empirical Likelihood for Partially Linear Models

Jian Shi and Tai-Shing Lau

Journal of Multivariate Analysis, 2000, vol. 72, issue 1, 132-148

Abstract: In this paper, we consider the application of the empirical likelihood method to partially linear model. Unlike the usual cases, we first propose an approximation to the residual of the model to deal with the nonparametric part so that Owen's (1990) empirical likelihood approach can be applied. Then, under quite general conditions, we prove that the empirical log-likelihood ratio statistic is asymptotically chi-squared distributed. Therefore, the empirical likelihood confidence regions can be constructed accordingly.

Keywords: partially linear model; empirical likelihood; nonparametric likelihood ratio; sieve approximation; weight functions (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (37)

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