Empirical-Likelihood-Based Inference for Partially Linear Models

Haiyan Su () and Linlin Chen
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Haiyan Su: School of Computing, Montclair State University, Montclair, NJ 07043, USA
Linlin Chen: Department of Mathematics and Statistics, Rochester Institute of Technology, Rochester, NY 14632, USA

Mathematics, 2024, vol. 12, issue 1, 1-12

Abstract: Partially linear models find extensive application in biometrics, econometrics, social sciences, and various other fields due to their versatility in accommodating both parametric and nonparametric elements. This study aims to establish statistical inference for the parametric component effects within these models, employing a nonparametric empirical likelihood approach. The proposed method involves a projection step to eliminate the nuisance nonparametric component and utilizes an empirical-likelihood-based technique, along with the Bartlett correction, to enhance the coverage probability of the confidence interval for the parameter of interest. This method demonstrates robustness in handling normally and non-normally distributed errors. The proposed empirical likelihood ratio statistic converges to a limiting chi-square distribution under certain regulations. Simulation studies demonstrate that this method provides better inference in terms of coverage probabilities compared to the conventional normal-approximation-based method. The proposed method is illustrated by analyzing the Boston housing data from a real study.

Keywords: partially linear models; empirical likelihood; confidence interval (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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