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On inference for a semiparametric partially linear regression model with serially correlated errors

✍ Scribed by Jinhong You; Gemai Chen

Publisher
John Wiley and Sons
Year
2007
Tongue
French
Weight
980 KB
Volume
35
Category
Article
ISSN
0319-5724

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✦ Synopsis

Abstract

The authors consider a semiparametric partially linear regression model with serially correlated errors. They propose a new way of estimating the error structure which has the advantage that it does not involve any nonparametric estimation. This allows them to develop an inference procedure consisting of a bandwidth selection method, an efficient semiparametric generalized least squares estimator of the parametric component, a goodness‐of‐fit test based on the bootstrap, and a technique for selecting significant covariates in the parametric component. They assess their approach through simulation studies and illustrate it with a concrete application.

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