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Empirical likelihood inferences for semiparametric instrumental variable models

  • Peixin ZhaoEmail author
  • Liugen Xue
Original Research

Abstract

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.

Keywords

Semiparametric regression Empirical likelihood Instrumental variables 

Mathematics Subject Classification (2000)

62G05 62G20 62G30 

Notes

Acknowledgements

This research was supported by the National Natural Science Foundation of China (Grant Nos. 11171012, 11101119 and 11126332), the National Social Science Foundation of China (Grant No. 11CTJ004), the Natural Science Foundation of Guangxi (Grant No. 2010GXNSFB013051) and the Philosophy and Social Sciences Foundation of Guangxi (Grant No. 11FTJ002).

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Copyright information

© Korean Society for Computational and Applied Mathematics 2013

Authors and Affiliations

  1. 1.Department of MathematicsHechi UniversityYizhouChina
  2. 2.College of Applied SciencesBeijing University of TechnologyBeijingChina

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