Estimation and testing for partially linear single-index models

DOI10.1214/10-AOS835MaRDI QIDQ95718zbMATH OpenOpenAlexWikidataFDO

Authors Hua Liang, Xiang Liu, Runze Li, Chih-Ling Tsai

Publication date 1 December 2010

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.3509

zbMATH Keywords

SCADhypothesis testingnonparametric regressionprofile likelihoodefficiencylocal linear regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Abstract: In partially linear single-index models, we obtain the semiparametrically efficient profile least-squares estimators of regression coefficients. We also employ the smoothly clipped absolute deviation penalty (SCAD) approach to simultaneously select variables and estimate regression coefficients. We show that the resulting SCAD estimators are consistent and possess the oracle property. Subsequently, we demonstrate that a proposed tuning parameter selector, BIC, identifies the true model consistently. Finally, we develop a linear hypothesis test for the parametric coefficients and a goodness-of-fit test for the nonparametric component, respectively. Monte Carlo studies are also presented.

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