Empirical Likelihood for Generalized Partially Linear Single-index Models |
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| Authors: | Zhuoxi Yu Min Chen |
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| Affiliation: | 1. School of Management Science and Information Engineering, Jilin University of Finance and Economics, Changchun, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China |
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| Abstract: | Empirical-likelihood based inference for the parameters in a generalized partially linear single-index models (GPLSIM) is investigated. Based on the local linear estimators of the nonparametric parts of the GPLSIM, an estimated empirical likelihood-based statistic of the parametric components is proposed. We show that the resulting statistic is asymptotically standard chi-squared distributed, the confidence regions for the parametric components are constructed. Some simulations are conducted to illustrate the proposed method. |
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| Keywords: | Generalized Partial linear single-index model Empirical likelihood χ2 distribution Confidence region |
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