The focused information criterion for varying-coefficient partially linear measurement error models

Hai Wang (), Xinjie Chen () and Nancy Flournoy ()

Statistical Papers, 2016, vol. 57, issue 1, 99-113

Abstract: Under general parametric models, Claeskens and Hjort (J Am Stat Assoc 98:900–916, 2003 ) proposed a focused information criterion for model selection which emphasizes the accuracy of estimation for particular parameters of interest. This paper extends their framework to include a semi-parametric varying-coefficient partially linear model when covariates in both the parametric and the non-parametric parts are subject to measurement errors. We allow the covariance matrices of the measurement errors to be unknown and be estimated by replicated observations. Also, we derive the asymptotic properties of the frequentist model average estimator for the model in consideration, which generalizes the results obtained by Wang et al. (Electron J Stat 6:1017–1039, 2012 ). In addition to asymptotic properties, finite sample performance of the proposed methods are examined in a simulation study, and a data set obtained from Continuing Survey of Food Intakes by Individuals conducted by the U.S. Department of Agriculture’s (CSFII) is considered. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Focused information criterion; Measurement errors; Model averaging; Model selection; Semi-parametric models (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00362-014-0645-z

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