Abstract
This paper considers large sample inference for the regression parameter in a partially linear regression model with longitudinal data and α-mixing errors. The authors introduce an estimated empirical likelihood for the regression parameter and show that its limiting distribution is a mixture of central chi-squared distributions. Also, the authors derive an adjusted empirical likelihood method which is shown to have a central chi-square limiting distribution. A simulation study is carried out to assess the performance of the empirical likelihood method.
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This research is supported by the National Natural Science Foundation of China under Grant Nos. 11271286, 11271286, 71171003, and 11226218, Provincial Natural Science Research Project of Anhui Colleges under Grant No. KJ2011A032, Anhui Provincial Natural Science Foundation under Grant Nos. 1208085QA04 and 10040606Q03.
This paper was recommended for publication by Editor ZOU Guohua.
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Fan, G., Liang, H. Empirical likelihood for longitudinal partially linear model with α-mixing errors. J Syst Sci Complex 26, 232–248 (2013). https://doi.org/10.1007/s11424-013-0015-2
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DOI: https://doi.org/10.1007/s11424-013-0015-2