作者
Jianqing Fan, Tao Huang
发表日期
2005/12
期刊
Bernoulli
卷号
11
期号
6
页码范围
1031-1057
出版商
Bernoulli Society for Mathematical Statistics and Probability
简介
Varying-coefficient partially linear models are frequently used in statistical modelling, but their estimation and inference have not been systematically studied. This paper proposes a profile least-squares technique for estimating the parametric component and studies the asymptotic normality of the profile least-squares estimator. The main focus is the examination of whether the generalized likelihood technique developed by Fan et al. is applicable to the testing problem for the parametric component of semiparametric models. We introduce the profile likelihood ratio test and demonstrate that it follows an asymptotically χ2 distribution under the null hypothesis. This not only unveils a new Wilks type of phenomenon, but also provides a simple and useful method for semiparametric inferences. In addition, the Wald statistic for semiparametric models is introduced and demonstrated to possess a sampling property similar …
引用总数
2004200520062007200820092010201120122013201420152016201720182019202020212022202320243510182449464355545763504549434660464022