Empirical Likelihood for Nonparametric Additive Models
AbstractNonparametric additive modeling is a fundamental tool for statistical data analysis which allows flexible functional forms for conditional mean or quantile functions but avoids the curse of dimensionality for fully nonparametric methods induced by high-dimensional covariates. This paper proposes empirical likelihood-based inference methods for unknown functions in three types of nonparametric additive models: (i) additive mean regression with the identity link function, (ii) generalized additive mean regression with a known non-identity link function, and (iii) additive quantile regression. The proposed empirical likelihood ratio statistics for the unknown functions are asymptotically pivotal and converge to chi-square distributions, and their associated confidence intervals possess several attractive features compared to the conventional Wald-type confidence intervals.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1792.
Length: 28 pages
Date of creation: Apr 2011
Date of revision:
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-16 (All new papers)
- NEP-ECM-2011-04-16 (Econometrics)
- NEP-ORE-2011-04-16 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
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