Orthogonal weighted empirical likelihood-based variable selection for semiparametric instrumental variable models

ABSTRACT

In this article, we consider the variable selection for a class of semiparametric instrumental variable models. By combining orthogonal weighting technology and empirical likelihood method, we propose an orthogonal weighted empirical likelihood-based variable selection procedure. Under some mild conditions, the consistency and sparsity of the variable selection procedure are studied. Furthermore, some simulation studies and a real data analysis are carried out to examine the finite-sample performance of the proposed method.

KEYWORDS:

• Empirical likelihood
• Instrumental variable
• Semiparametric instrumental variable model
• Variable selection

MATHEMATICS SUBJECT CLASSIFICATION:

• 62G05
• 62G08
• 62G35

Additional information

Funding

This paper is supported by the National Natural Science Foundation of China (11301569), the Chongqing Research Program of Basic Theory and Advanced Technology (cstc2016jcyjA0151), the Higher-education Reform Project of Guangxi (2014JGA209), and the Scientific Research Foundation of Chongqing Technology and Business University (2015-56-06).