Penalized empirical likelihood estimation of semiparametric models

Taisuke Otsu

Journal of Multivariate Analysis, 2007, vol. 98, issue 10, 1923-1954

Abstract: We propose an empirical likelihood-based estimation method for conditional estimating equations containing unknown functions, which can be applied for various semiparametric models. The proposed method is based on the methods of conditional empirical likelihood and penalization. Thus, our estimator is called the penalized empirical likelihood (PEL) estimator. For the whole parameter including infinite-dimensional unknown functions, we derive the consistency and a convergence rate of the PEL estimator. Furthermore, for the finite-dimensional parametric component, we show the asymptotic normality and efficiency of the PEL estimator. We illustrate the theory by three examples. Simulation results show reasonable finite sample properties of our estimator.

Keywords: Semiparametric; model; Empirical; likelihood; Penalization (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

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