Partially linear models
In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of partially linear regression techniques. The emphasis of this monograph is on methodologies rather than on the theory, with a particular focus on applications of partially linear regression techniques to various statistical problems. These problems include least squares regression, asymptotically efficient estimation, bootstrap resampling, censored data analysis, linear measurement error models, nonlinear measurement models, nonlinear and nonparametric time series models. We hope that this monograph will serve as a useful reference for theoretical and applied statisticians and to graduate students and others who are interested in the area of partially linear regression. While advanced mathematical ideas have been valuable in some of the theoretical development, the methodological power of partially linear regression can be demonstrated and discussed without advanced mathematics. This monograph can be divided into three parts: part one–Chapter 1 through Chapter 4; part two–Chapter 5; and part three–Chapter 6. In the first part, we discuss various estimators for partially linear regression models, establish theo- retical results for the estimators, propose estimation procedures, and implement the proposed estimation procedures through real and simulated examples. The second part is of more theoretical interest. In this part, we construct several adaptive and efficient estimates for the parametric component. We show that the LS estimator of the parametric component can be modified to have both Bahadur asymptotic efficiency and second order asymptotic efficiency. In the third part, we consider partially linear time series models. First, we propose a test procedure to determine whether a partially linear model can be used to fit a given set of data. Asymptotic test criteria and power investigations are presented. Second, we propose a Cross-Validation (CV) based criterion to select the optimum linear subset from a partially linear regression and estab- lish a CV selection criterion for the bandwidth involved in the nonparametric kernel estimation. The CV selection criterion can be applied to the case where the observations fitted by the partially linear model (1.1.1) are independent and identically distributed (i.i.d.). Due to this reason, we have not provided a sepa- rate chapter to discuss the selection problem for the i.i.d. case. Third, we provide recent developments in nonparametric and semiparametric time series regression. This work of the authors was supported partially by the Sonderforschungs- bereich373“QuantifikationundSimulationO ̈konomischerProzesse”.Thesecond author was also supported by the National Natural Science Foundation of China and an Alexander von Humboldt Fellowship at the Humboldt University, while the third author was also supported by the Australian Research Council. The second and third authors would like to thank their teachers: Professors Raymond Car- roll, Guijing Chen, Xiru Chen, Ping Cheng and Lincheng Zhao for their valuable inspiration on the two authors’ research efforts. We would like to express our sin- cere thanks to our colleagues and collaborators for many helpful discussions and stimulating collaborations, in particular, Vo Anh, Shengyan Hong, Enno Mam- men, Howell Tong, Axel Werwatz and Rodney Wolff. For various ways in which they helped us, we would like to thank Adrian Baddeley, Rong Chen, Anthony Pettitt, Maxwell King, Michael Schimek, George Seber, Alastair Scott, Naisyin Wang, Qiwei Yao, Lijian Yang and Lixing Zhu. The authors are grateful to everyone who has encouraged and supported us to finish this undertaking. Any remaining errors are ours.
|Date of creation:||01 Sep 2000|
|Date of revision:||01 Sep 2000|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Hua, Liang & Ping, Cheng, 1993. "Second order asymptotic efficiency in a partial linear model," Statistics & Probability Letters, Elsevier, vol. 18(1), pages 73-84, August.
- David G. Blanchflower & Andrew J. Oswald, 1989.
"The Wage Curve,"
NBER Working Papers
3181, National Bureau of Economic Research, Inc.
- Tripathi, G., 1997. "Semiparametric Efficiency Bounds Under Shape Restrictions," Working papers 9720, Wisconsin Madison - Social Systems.
- Jiti Gao & Hua Liang, 1997. "Statistical Inference in Single-Index and Partially Nonlinear Models," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(3), pages 493-517, September.
- Schick, Anton, 1996. "Root-n consistent estimation in partly linear regression models," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 353-358, August.
- Masry, Elias & Tjøstheim, Dag, 1995. "Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality," Econometric Theory, Cambridge University Press, vol. 11(02), pages 258-289, February.
- Gallant, A. Ronald, 1981. "On the bias in flexible functional forms and an essentially unbiased form : The fourier flexible form," Journal of Econometrics, Elsevier, vol. 15(2), pages 211-245, February.
- Gao, Jiti, 1994. "Asymptotic theory for partly linear models," MPRA Paper 40452, University Library of Munich, Germany, revised 02 Dec 1994.
- Eubank, R. L. & Kambour, E. L. & Kim, J. T. & Klipple, K. & Reese, C. S. & Schimek, M., 1998. "Estimation in partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 29(1), pages 27-34, November.
- Linton, Oliver, 1995.
"Second Order Approximation in the Partially Linear Regression Model,"
Econometric Society, vol. 63(5), pages 1079-1112, September.
- Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
- Anglin, Paul M & Gencay, Ramazan, 1996. "Semiparametric Estimation of a Hedonic Price Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 633-48, Nov.-Dec..
- Liang, Hua, 1995. "Second-order asymptotic efficiency of PMLE in generalized linear models," Statistics & Probability Letters, Elsevier, vol. 24(3), pages 273-279, August.
- Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-90, July.
- Richard Schmalensee & Thomas M. Stoker, 1999. "Household Gasoline Demand in the United States," Econometrica, Econometric Society, vol. 67(3), pages 645-662, May.
- Rodney C Wolff & Jiti Gao & Howell Tong, 2006. "Adaptive orthogonal series estimation in additive stochastic regression models," School of Economics and Finance Discussion Papers and Working Papers Series 208k, School of Economics and Finance, Queensland University of Technology.
- Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hamilton, Scott A. & Truong, Young K., 1997. "Local Linear Estimation in Partly Linear Models," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 1-19, January.
- Vieu, Philippe, 1994. "Choice of regressors in nonparametric estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 575-594, June.
- Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
- Gao, Jiti, 1995. "The laws of the iterated logarithm of some estimates in partly linear models," Statistics & Probability Letters, Elsevier, vol. 25(2), pages 153-162, November.
- Schick, Anton, 1996. "Weighted least squares estimates in partly linear regression models," Statistics & Probability Letters, Elsevier, vol. 27(3), pages 281-287, April.
- Masry, Elias & Tjøstheim, Dag, 1997. "Additive Nonlinear ARX Time Series and Projection Estimates," Econometric Theory, Cambridge University Press, vol. 13(02), pages 214-252, April.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:39562. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.