Authors
Hua Liang, Xiang Liu, Runze Li, Chih-Ling Tsai
Publication date
2010/12/12
Journal
Annals of statistics
Volume
38
Issue
6
Pages
3811
Publisher
NIH Public Access
Description
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.
Total citations
Scholar articles
H Liang, X Liu, R Li, CL Tsai - Annals of statistics, 2010