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Statistics and Its Interface
Volume 17 (2024)
Number 4
Composite quantile regression based robust empirical likelihood for partially linear spatial autoregressive models
Pages: 749 – 761
DOI: https://dx.doi.org/10.4310/22-SII764
Authors
Abstract
In this paper, we consider the robust estimation for a class of partially linear spatial autoregressive models. By combining empirical likelihood and composite quantile regression methods, we propose a robust empirical likelihood estimation procedure. Under some regularity conditions, the proposed empirical log-likelihood ratio is proved to be asymptotically chi-squared, and the convergence rate of the estimator for nonparametric component is also derived. Some simulation analyses are conducted for further illustrating the performance of the proposed method, and simulation results show that the proposed method is more robust.
Keywords
partially linear spatial autoregressive model, empirical likelihood, robust estimation, composite quantile regression
2010 Mathematics Subject Classification
Primary 62G05, 62G20. Secondary 62G30.
Received 17 June 2022
Accepted 13 November 2022
Published 19 July 2024