Focused Information Criterion for Series Estimation in Partially Linear Models |
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Authors: | Naoya Sueishi Arihiro Yoshimura |
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Institution: | 1. Kobe University;2. Kyoto Sangyo University |
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Abstract: | This paper proposes a focused information criterion for variable selection in partially linear models. Our criterion is designed to select an optimal model for estimating a focus parameter, which is a parameter of interest. We estimate the model using the series method and jointly select the variables in the linear part and the series length in the nonparametric part. A Monte Carlo simulation shows that the proposed focused information criterion successfully selects the model that has a relatively small mean squared error of the estimator for the focus parameter. |
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