Variable Selection for Semiparametric Varying Coefficient Partially Linear Errors-in-Variables (EV) Model with Missing Response

Abstract

This paper focuses on the variable selection for semiparametric varying coefficient partially linear model when the covariates are measured with additive errors and the response is missing. An adaptive lasso estimator and the smoothly clipped absolute deviation estimator as a comparison for the parameters are proposed. With the proper selection of regularization parameter, the sampling properties including the consistency of the two procedures and the oracle properties are established. Furthermore, the algorithms and corresponding standard error formulas are discussed. A simulation study is carried out to assess the finite sample performance of the proposed methods.

Keywords:

• Measurement error
• Missing response
• Semiparametric varying coefficient partially linear model
• Variable selection.

Mathematical Subject Classification:

• MSC: 62G20