Focused Information Criterion for Series Estimation in Partially Linear Models. (9th February 2017)

• Record Type: Journal Article
• Authors: Sueishi, Naoya; Yoshimura, Arihiro
• Is Part Of: Japanese economic review. Volume 68:Number 3(2017:Sep.)
• Page Start: 352
• Page End: 363
• Publication Date: 2017-02-09
• Subjects: Economics -- Periodicals; 330
• DOI: 10.1111/jere.12139
• Languages: English
• ISSNs: 1352-4739

Abstract

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.