Empirical likelihood inference in partially linear single-index models with endogenous covariates

Yiping Yang, Lifang Chen and Peixin Zhao

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 7, 3297-3307

Abstract: In this article, we consider how to construct the confidence regions of the unknown parameters for partially linear single-index models with endogenous covariates. To eliminate the influence of the endogenous covariates, an empirical likelihood method is proposed based on instrumental variables. Under some regularly conditions, the asymptotic distribution of the proposed empirical log-likelihood ratio is proved to be a Chi-squared distribution. We investigate the finite-sample performance of the proposed method via simulation studies.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:7:p:3297-3307

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DOI: 10.1080/03610926.2015.1060341

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