Two-step generalised empirical likelihood inference for semiparametric models

Abstract

This paper shows how generalised empirical likelihood can be used to obtain valid asymptotic inference for the …nite dimensional component of semiparametric models de…ned by a set of moment conditions. The results of the paper are illustrated using two well-known semiparametric regression models: the partially linear single index model and the linear transformation model with random censoring.

DOI: 10.1016/j.jmva.2008.12.004

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@article{Bravo2009TwostepGE, title={Two-step generalised empirical likelihood inference for semiparametric models}, author={Francesco Bravo}, journal={J. Multivariate Analysis}, year={2009}, volume={100}, pages={1412-1431} }