EMPIRICAL LIKELIHOOD INFERENCE FOR A HETEROSCEDASTIC PARTIALLY LINEAR EV MODEL

Abstract

The purpose of this article is to use the empirical likelihood method to study the confidence regions construction for the parameters of interest in a heteroscedastic partially linear EV model.When error variances is known and unknown cases, the two different empirical log-likelihood ratio for the parametric components were proposed and nonparametric version of Wilks' theorem were derived, respectively.Simulation study shows that the proposed empirical likelihood confidence regions have satisfactory coverage.