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Robust empirical likelihood for partially linear models via weighted composite quantile regression

Peixin Zhao () and Xiaoshuang Zhou
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Peixin Zhao: Chongqing Technology and Business University
Xiaoshuang Zhou: Dezhou University

Computational Statistics, 2018, vol. 33, issue 2, No 5, 659-674

Abstract: Abstract In this paper, we investigate robust empirical likelihood inferences for partially linear models. Based on weighted composite quantile regression and QR decomposition technology, we propose a new estimation method for the parametric components. Under some regularity conditions, we prove that the proposed empirical log-likelihood ratio is asymptotically chi-squared, and then the confidence intervals for the parametric components are constructed. The resulting estimators for parametric components are not affected by the nonparametric components, and then it is more robust, and is easy for application in practice. Some simulations analysis and a real data application are conducted for further illustrating the performance of the proposed method.

Keywords: Weighted composite quantile regression; Empirical likelihood; Partially linear model; QR decomposition (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00180-018-0793-z

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