Adjusted empirical likelihood inferences for varying coefficient partially non linear models with endogenous covariates

Xinrong Tang, Peixin Zhao, Yiping Yang and Weiming Yang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 4, 953-973

Abstract: In this article, based on empirical likelihood method and instrumental variable adjustment technique, we propose an adjusted empirical likelihood based statistical inference procedure for varying coefficient partially non linear models with endogenous covariates. Under some mild conditions, the constructed empirical log-likelihood ratio is shown to be asymptotically chi-squared, and then the confidence intervals for the parameter and non parametric components are constructed. Some simulation studies are conducted to examine the finite sample performance of the proposed methods.

Date: 2022
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DOI: 10.1080/03610926.2020.1747078

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