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Focused Information Criterion for Series Estimation in Partially Linear Models

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  • Naoya Sueishi
  • Arihiro Yoshimura
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    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.

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    File URL: http://www.econ.kyoto-u.ac.jp/projectcenter/Paper/e-14-001.pdf
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    Bibliographic Info

    Paper provided by Graduate School of Economics Project Center, Kyoto University in its series Discussion papers with number e-14-001.

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    Length: 11 pages
    Date of creation: Apr 2014
    Date of revision:
    Handle: RePEc:kue:dpaper:e-14-001

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    1. Liu, Chu-An, 2013. "Distribution Theory of the Least Squares Averaging Estimator," MPRA Paper 54201, University Library of Munich, Germany.
    2. Zhang, Hao Helen & Cheng, Guang & Liu, Yufeng, 2011. "Linear or Nonlinear? Automatic Structure Discovery for Partially Linear Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 1099-1112.
    3. Donald, S. G. & Newey, W. K., 1994. "Series Estimation of Semilinear Models," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 30-40, July.
    4. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
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