Empirical likelihood based inference for semiparametric varying coefficient partially linear models with error-prone linear covariates

Zhensheng Huang, Zhangong Zhou, Rong Jiang, Weimin Qian and Riquan Zhang

Statistics & Probability Letters, 2010, vol. 80, issue 5-6, 497-504

Abstract: This paper considers statistical inference for semiparametric varying coefficient partially linear models with error-prone linear covariates. An empirical likelihood based statistic for parametric component is developed to construct confidence regions. The resulting statistic is shown to be asymptotically chi-square distributed. By the empirical likelihood ratio function, the maximum empirical likelihood estimator of the parameter is defined and the asymptotic normality is shown. A simulation experiment is conducted to compare the empirical likelihood, normal based and the naive empirical likelihood methods in terms of coverage accuracies of confidence regions.

Date: 2010
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