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Empirical Likelihood for Partially Linear Models

โœ Scribed by Jian Shi; Tai-Shing Lau

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
193 KB
Volume
72
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

In this paper, we consider the application of the empirical likelihood method to partially linear model. Unlike the usual cases, we first propose an approximation to the residual of the model to deal with the nonparametric part so that Owen's (1990) empirical likelihood approach can be applied. Then, under quite general conditions, we prove that the empirical log-likelihood ratio statistic is asymptotically chisquared distributed. Therefore, the empirical likelihood confidence regions can be constructed accordingly.

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