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This article considers the estimation for the partially linear varying coefficient model with random effect. This article proposes to use the estimators for the variance component and profile weighted semi-parametric least squares (WSLSE) techniques to estimate the parametric component efficiently and to establish its efficiency and asymptotic properties. The proposed estimator is proved to be more efficient than that naive estimation with working independence error structure. Some Monte Carlo simulations are conducted to examine the finite sample performance. Moreover, from the empirical study, the newly proposed procedure performs well in moderate-sized samples. © Springer-Verlag Berlin Heidelberg 2013.
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ISSN: 1865-0929
Year: 2013
Volume: 391 PART I
Page: 573-583
Language: English
Cited Count:
WoS CC Cited Count: 0
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ESI Highly Cited Papers on the List: 0 Unfold All
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Chinese Cited Count:
30 Days PV: 11
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