Robust estimation for varying-coefficient partially linear measurement error model with auxiliary instrumental variables

Abstract

We study the varying-coefficient partially linear model when some linear covariates are not observed, but their auxiliary instrumental variables are available. Combining the calibrated error-prone covariates and modal regression, we present a two-stage efficient estimation procedure, which is robust against outliers or heavy-tail error distributions. Asymptotic properties of the resulting estimators are established. Performance of our proposed estimation procedure is illustrated through some numerous simulations and a real example. And the results confirm that the proposed methods are satisfactory.

Keywords

• varying-coefficient partially linear models
• auxiliary variables
• error-in-variable
• modal regression