Smoothed empirical likelihood analysis of partially linear quantile regression models with missing response variables

Xiaofeng Lv () and Rui Li

AStA Advances in Statistical Analysis, 2013, vol. 97, issue 4, 317-347

Abstract: In this paper, we consider the estimation and inference of the parameters and the nonparametric part in partially linear quantile regression models with responses that are missing at random. First, we extend the normal approximation (NA)-based methods of Sun ( 2005 ) to the missing data case. However, the asymptotic covariance matrices of NA-based methods are difficult to estimate, which complicates inference. To overcome this problem, alternatively, we propose the smoothed empirical likelihood (SEL)-based methods. We define SEL statistics for the parameters and the nonparametric part and demonstrate that the limiting distributions of the statistics are Chi-squared distributions. Accordingly, confidence regions can be obtained without the estimation of the asymptotic covariance matrices. Monte Carlo simulations are conducted to evaluate the performance of the proposed method. Finally, the NA- and SEL-based methods are applied to real data. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Smoothed empirical likelihood; Partially linear quantile regression; Missing at random (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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DOI: 10.1007/s10182-013-0210-4

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