• Media type: Report; E-Book
  • Title: Simultaneous inference for the partially linear model with a multivariate unknown function when the covariates are measured with errors
  • Contributor: Kim, Kun Ho [Author]; Chao, Shih-Kang [Author]; Härdle, Wolfgang Karl [Author]
  • imprint: Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2016
  • Language: English
  • Keywords: Partially linear model ; Uniform con dence surface ; Non-parametric function ; Measurement error ; C13 ; Semi-parametric regression ; Non-linearity ; Regression calibration ; Simultaneous inference ; C14 ; C12 ; U.S. Gasoline demand
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  • Description: In this paper, we analyze the nonparametric part of a partially linear model when the covariates in parametric and non-parametric parts are subject to measurement errors. Based on a two-stage semi-parametric estimate, we construct a uniform con dence surface of the multivariate function for simultaneous inference. The developed methodology is applied to perform inference for the U.S. gasoline demand where the income and price variables are measured with errors. The empirical results strongly suggest that the linearity of the U.S. gasoline demand is rejected.
  • Access State: Open Access