Focused Information Criterion for Series Estimation in Partially Linear Models
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.
|Date of creation:||Apr 2014|
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