Focused Information Criterion for Series Estimation in Partially Linear Models

Naoya Sueishi and Arihiro Yoshimura
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Arihiro Yoshimura: Kyoto Sangyo University

The Japanese Economic Review, 2017, vol. 68, issue 3, No 5, 352-363

Abstract: Abstract This paper proposes a focused information criterion for variable selection in partially linear models. Our criterion is designed to select an optimal model for estimating a focus parameter, which is a parameter of interest. We estimate the model using the series method and jointly select the variables in the linear part and the series length in the nonparametric part. A Monte Carlo simulation shows that the proposed focused information criterion successfully selects the model that has a relatively small mean squared error of the estimator for the focus parameter.

Keywords: C14; C52; C53 (search for similar items in EconPapers)
Date: 2017
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Journal Article: Focused Information Criterion for Series Estimation in Partially Linear Models (2017)
Working Paper: Focused Information Criterion for Series Estimation in Partially Linear Models (2014)
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DOI: 10.1111/jere.12139

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