Statistical inference for semiparametric varying-coefficient partially linear models with error-prone linear covariates
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Open Access
- 1 February 2009
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 37 (1) , 427-458
Abstract
We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also propose the profile least-square based ratio test and Wald test to identify significant parametric and nonparametric components. To improve accuracy of the proposed tests for small or moderate sample sizes, a wild bootstrap version is also proposed to calculate the critical values. Intensive simulation experiments are conducted to illustrate the proposed approaches.Keywords
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