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Author: Zhao, Peixin
Resulting in 1 citation.
1. Zhao, Peixin
Xue, Liugen
Empirical Likelihood Inferences for Semiparametric Instrumental Variable Models
Journal of Applied Mathematics and Computing 43,1 (October 2013): 75-90.
Also: http://link.springer.com/article/10.1007/s12190-013-0652-6/fulltext.html
Cohort(s): Young Men
Publisher: Springer
Keyword(s): Modeling, Instrumental Variables; Statistical Analysis

Permission to reprint the abstract has not been received from the publisher.

This paper studies the empirical likelihood inferences for a class of semiparametric instrumental variable models. We focus on the case that some covariates are endogenous variables, and some auxiliary instrumental variables are available. An instrumental variable based empirical likelihood method is proposed, and it is shown that the proposed empirical log-likelihood ratio is asymptotically chi-squared. Then, the confidence intervals for the regression coefficients are constructed. Some simulation studies are undertaken to assess the finite sample performance of the proposed empirical likelihood procedure.
Bibliography Citation
Zhao, Peixin and Liugen Xue. "Empirical Likelihood Inferences for Semiparametric Instrumental Variable Models." Journal of Applied Mathematics and Computing 43,1 (October 2013): 75-90.