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Empirical likelihood inference for parameters in a partially linear errors-in-variables model
Authors:Xia Chen
Affiliation:1. College of Mathematics and Information Science , Shaanxi Normal University , Xi'an , 710062 , People's Republic of China;2. Department of Statistics and Financial Mathematics , Beijing Normal University , Beijing , 100875 , People's Republic of China
Abstract:In this paper, we consider the application of the empirical likelihood method to a partially linear model with measurement errors in the non-parametric part. It is shown that the empirical log-likelihood ratio at the true parameters converges to the standard chi-square distribution. Furthermore, we obtain the maximum empirical likelihood estimate of the unknown parameter by using the empirical log-likelihood ratio function, and the resulting estimator is shown to be asymptotically normal. Some simulations and an application are conducted to illustrate the proposed method.
Keywords:empirical likelihood  measurement error  confidence regions  coverage probability  maximum empirical likelihood estimate
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