论文信息 - Statistical inference of partially linear regression models with heteroscedastic errors

Statistical inference of partially linear regression models with heteroscedastic errors

The authors study a heteroscedastic partially linear regression model and develop an inferential procedure for it. This includes a test of heteroscedasticity, a two-step estimator of the heteroscedastic variance function, semiparametric generalized least-squares estimators of the parametric and nonparametric components of the model, and a bootstrap goodness of fit test to see whether the nonparametric component can be parametrized.

[1] Jeng-Min Chiou,et al. Nonparametric quasi-likelihood , 1999 .

[2] A. A. Weiss,et al. Semiparametric estimates of the relation between weather and electricity sales , 1986 .

[3] P. Robinson. ROOT-N-CONSISTENT SEMIPARAMETRIC REGRESSION , 1988 .

[4] Wolfgang Härdle,et al. Partially Linear Models , 2000 .

[5] B. Baltagi,et al. Econometric Analysis of Panel Data , 2020, Springer Texts in Business and Economics.

[6] Jianqing Fan,et al. Generalized likelihood ratio statistics and Wilks phenomenon , 2001 .

[7] H. Müller,et al. Local Polynomial Modeling and Its Applications , 1998 .

[8] Jianqing Fan. Local Linear Regression Smoothers and Their Minimax Efficiencies , 1993 .

[9] Jian Shi,et al. Empirical Likelihood for Partially Linear Models , 2000 .

[10] Holger Dette,et al. A consistent test for heteroscedasticity in nonparametric regression based on the kernel method , 2002 .

[11] Jianqing Fan,et al. New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis , 2004 .

[12] J. Sacks,et al. Designs for Regression Problems with Correlated Errors III , 1966 .

[13] Ulrich Stadtmüller,et al. Estimation of Heteroscedasticity in Regression Analysis , 1987 .

[14] Changbao Wu,et al. Jackknife, Bootstrap and Other Resampling Methods in Regression Analysis , 1986 .