Semiparametric efficient inferences for generalised partially linear models

Jafer Rahman, Shihua Luo, Yawen Fan and Xiaohui Liu

Journal of Nonparametric Statistics, 2020, vol. 32, issue 3, 704-724

Abstract: In this paper, we consider semiparametric efficient inferences in the generalised partially linear models. A novel bias-corrected estimating procedure and a bias-corrected empirical log-likelihood ratio are developed, respectively, for point estimation and confidence regions for parameters of interest. Under mild conditions, the resulting likelihood ratio is shown to be standard chi-squared distributed asymptotically. Moreover, it is noteworthy that the range of bandwidth in this paper covers the optimal bandwidth due to the implementation of a new bias-corrected technique. Therefore, no undersmoothing is needed here for guaranteeing the asymptotically standard chi-squared distribution of the proposed statistic. Simulation study and real application are also provided in order to illustrate the performance of resulting procedure.

Date: 2020
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DOI: 10.1080/10485252.2020.1790557

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