Orthogonal weighted empirical likelihood-based variable selection for semiparametric instrumental variable models

Jiting Huang and Peixin Zhao

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 18, 4375-4388

Abstract: In this article, we consider the variable selection for a class of semiparametric instrumental variable models. By combining orthogonal weighting technology and empirical likelihood method, we propose an orthogonal weighted empirical likelihood-based variable selection procedure. Under some mild conditions, the consistency and sparsity of the variable selection procedure are studied. Furthermore, some simulation studies and a real data analysis are carried out to examine the finite-sample performance of the proposed method.

Date: 2018
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DOI: 10.1080/03610926.2017.1373821

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