Estimation in a semiparametric partially linear errors-in-variables model

被引:37
|
作者
Liang, H [1 ]
Härdle, W
Carroll, RJ
机构
[1] Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
[2] Humboldt Univ, Inst Stat & Okonometrie, D-10178 Berlin, Germany
[3] Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA
来源
ANNALS OF STATISTICS | 1999年 / 27卷 / 05期
关键词
errors-in-variables; measurement error; nonparametric likelihood; orthogonal regression; partially linear model; semiparametric models; structural relations;
D O I
暂无
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider the partially linear model relating a response Y to predictors (X,T) with mean function X(inverted perpendicular)beta + g(T) when the X's are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis leads to biased estimates of both the parameter beta and the function g((.))when measurement error is ignored. We derive a simple modification of their estimator which is a semiparametric version of the usual parametric correction for attenuation. The resulting estimator of beta is shown to be consistent and its asymptotic distribution theory is derived. Consistent standard error estimates using sandwich-type ideas are also developed.
引用
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页码:1519 / 1535
页数:17
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