Abstract
In this paper, we focus on the variable selection for semiparametric varying coefficient partially linear models with longitudinal data. A new variable selection procedure is proposed based on the combination of the basis function approximations and quadratic inference functions. The proposed procedure simultaneously selects significant variables in the parametric components and the nonparametric components. With appropriate selection of the tuning parameters, we establish the consistency and asymptotic normality of the resulting estimators. Extensive Monte Carlo simulation studies are conducted to examine the finite sample performance of the proposed variable selection procedure. We further illustrate the proposed procedure by an application.
Original language | English |
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Pages (from-to) | 94-110 |
Number of pages | 17 |
Journal | Journal of Multivariate Analysis |
Volume | 132 |
DOIs | |
Publication status | Published - 1 Jan 2014 |
Keywords
- Longitudinal data
- Quadratic inference functions
- Semiparametric varying coefficient partially linear models
- Variable selection
ASJC Scopus subject areas
- Statistics, Probability and Uncertainty
- Numerical Analysis
- Statistics and Probability