Using thresholding difference-based estimators for variable selection in partial linear models

A commonly used semiparametric model is considered. We adopt two difference based estimators of the linear component of the model and propose corresponding thresholding estimators that can be used for variable selection. For each thresholding estimator, variable selection in the linear component is developed and consistency of the variable selection procedure is shown. We evaluate our method in a simulation study and implement it on a real data set.

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Year of publication:	2013
Authors:	Luo, June ; Gerard, Patrick
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 12, p. 2601-2606
Publisher:	Elsevier
Subject:	Semi-parametric model \| Differencing method \| Asymptotic \| High dimension \| Variable selection

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709064