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Robust likelihood inference for regression parameters in partially linear models

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  • Shen, Chung-Wei
  • Tsou, Tsung-Shan
  • Balakrishnan, N.
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    Abstract

    A robust likelihood approach is proposed for inference about regression parameters in partially-linear models. More specifically, normality is adopted as the working model and is properly corrected to accomplish the objective. Knowledge about the true underlying random mechanism is not required for the proposed method. Simulations and illustrative examples demonstrate the usefulness of the proposed robust likelihood method, even in irregular situations caused by the components of the nonparametric smooth function in partially-linear models.

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    File URL: http://www.sciencedirect.com/science/article/B6V8V-51CJ36K-1/2/93acaac8cd8f1f91a50341be024e2a8e
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 55 (2011)
    Issue (Month): 4 (April)
    Pages: 1696-1714

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    Handle: RePEc:eee:csdana:v:55:y:2011:i:4:p:1696-1714

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    Web page: http://www.elsevier.com/locate/csda

    Related research

    Keywords: Robust likelihood Generalized additive models Partially-linear models;

    References

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    1. Tsung-Shan Tsou, 2005. "Inferences of variance function - a parametric robust way," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 785-796.
    2. Richard Royall & Tsung-Shan Tsou, 2003. "Interpreting statistical evidence by using imperfect models: robust adjusted likelihood functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 391-404.
    3. Yatchew,Adonis, 2003. "Semiparametric Regression for the Applied Econometrician," Cambridge Books, Cambridge University Press, number 9780521812832, October.
    4. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    5. Yatchew, A., 1997. "An elementary estimator of the partial linear model," Economics Letters, Elsevier, vol. 57(2), pages 135-143, December.
    6. Liang, Hua, 2006. "Estimation in partially linear models and numerical comparisons," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 675-687, February.
    7. A. Yatchew, 2000. "Scale economies in electricity distribution: a semiparametric analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 187-210.
    8. Boente, Graciela & Rodriguez, Daniela, 2010. "Robust inference in generalized partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2942-2966, December.
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