Second order asymptotic efficiency in a partial linear model

DOI10.1016/0167-7152(93)90101-NMaRDI QIDQ689520zbMATH OpenOpenAlexFDO

Authors Hua Liang, Ping Cheng

Publication date 12 December 1993

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(93)90101-n

zbMATH Keywords

asymptotic median unbiasednessexplanatory variablemaximum likelihood estimatorsecond order asymptotic efficiencysemiparametric model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Linear inference, regression (62J99)

Review text

This paper considers a model of the form \(Y=X\beta+g(T)+\varepsilon\), where \(X\in R^ 1\) is an explanatory variable that enters linearly, \(\beta\) is an unknown parameter, \(T\) is another explanatory variable that enters in a nonlinear fashion, \(g(\cdot)\) is an unknown smooth function of \(T\) in \(R^ 1\), \((X,T)\) and \(\varepsilon\) are independent and \(\varepsilon\) is the random error with mean 0 and variance \(\sigma^ 2\). The second order asymptotic efficiency of estimators of \(\beta\) based on the maximum likelihood estimator has been studied.

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Cites work

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Cited in

(11)

• Semiparametric inference in a partial linear model
• An elementary estimator of the partial linear model
• Second order minimax estimation in partial linear models
• Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics.
• Asymptotic normality of pseudo-LS estimator for partly linear autoregression models
• Second-order asymptotic efficiency of PMLE in generalized linear models
• scientific article; zbMATH DE number 3911488 (Why is no real title available?)
• Higher order asymptotic theory for minimum contrast estimators of spectral parameters of stationary processes
• The berry-esseen bounds of error variance estimation in semiparametric regression models
• scientific article; zbMATH DE number 913285 (Why is no real title available?)
• Bootstrap approximation in a partially linear regression model

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