Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 11, Number 1 (2017), 480-501.
Estimation and inference of error-prone covariate effect in the presence of confounding variables
We introduce a general single index semiparametric measurement error model for the case that the main covariate of interest is measured with error and modeled parametrically, and where there are many other variables also important to the modeling. We propose a semiparametric bias-correction approach to estimate the effect of the covariate of interest. The resultant estimators are shown to be root-$n$ consistent, asymptotically normal and locally efficient. Comprehensive simulations and an analysis of an empirical data set are performed to demonstrate the finite sample performance and the bias reduction of the locally efficient estimators.
Electron. J. Statist., Volume 11, Number 1 (2017), 480-501.
Received: March 2015
First available in Project Euclid: 2 March 2017
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Liu, Jianxuan; Ma, Yanyuan; Zhu, Liping; Carroll, Raymond J. Estimation and inference of error-prone covariate effect in the presence of confounding variables. Electron. J. Statist. 11 (2017), no. 1, 480--501. doi:10.1214/17-EJS1242. https://projecteuclid.org/euclid.ejs/1488423805