کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150893 | 1489827 | 2013 | 11 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Modified SEE variable selection for varying coefficient instrumental variable models Modified SEE variable selection for varying coefficient instrumental variable models](/preview/png/1150893.png)
We consider the problem of variable selection for a class of varying coefficient models with instrumental variables. We focus on the case that some covariates are endogenous variables, and some auxiliary instrumental variables are available. An instrumental variable based variable selection procedure is proposed by using modified smooth-threshold estimating equations (SEEs). The proposed procedure can automatically eliminate the irrelevant covariates by setting the corresponding coefficient functions as zero, and simultaneously estimate the nonzero regression coefficients by solving the smooth-threshold estimating equations. The proposed variable selection procedure avoids the convex optimization problem, and is flexible and easy to implement. Simulation studies are carried out to assess the performance of the proposed variable selection method.
Journal: Statistical Methodology - Volume 12, May 2013, Pages 60–70