Focused Information Criterion for Series Estimation in Partially Linear Models

Naoya Sueishi and Arihiro Yoshimura

Discussion papers from Graduate School of Economics Project Center, Kyoto University

Abstract: This paper proposes a focused information criterion (FIC) for variable selection in partially linear models. Our criterion is designed to select an optimal model for estimating a focus parameter, which is a parameter of interest. We estimate the model by the series method and jointly select the variables in the linear part and the series length in the nonparametric part. A Monte Carlo simulation shows that the proposed FIC successfully selects the model that has a relatively small mean squared error of the estimator for the focus parameter.

JEL-codes: C14 C52 C53 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2014-04
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http://www.econ.kyoto-u.ac.jp/projectcenter/Paper/e-14-001.pdf (application/pdf)

Related works:
Journal Article: Focused Information Criterion for Series Estimation in Partially Linear Models (2017)
Journal Article: Focused Information Criterion for Series Estimation in Partially Linear Models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:kue:dpaper:e-14-001

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