Article

Efficient Estimation of Population-Level Summaries in General Semiparametric Regression Models

Journal of the American Statistical Association (Impact Factor: 2.11). 02/2007; 102(March):123-139. DOI: 10.2307/27639826
Source: RePEc

ABSTRACT This paper considers a wide class of semiparametric regression models in which interest focuses on population-level quantities that combine both the parametric and nonparametric parts of the model. Special cases in this approach include generalized partially linear models, gener- alized partially linear single index models, structural measurement error models and many others. For estimating the parametric part of the model e-ciently, proflle likelihood kernel estimation methods are well-established in the literature. Here our focus is on estimating general population-level quantities that combine the parametric and nonparametric parts of the model, e.g., population mean, probabilities, etc. We place this problem into a general context, provide a general kernel-based methodology, and derive the asymptotic distributions of estimates of these population-level quantities, showing that in many cases the estimates are semiparametric e-cient. For estimating the population mean with no missing data, we show that the sample mean is semiparametric e-cient for canonical exponential families, but not in general. We apply the methods to a problem in nutritional epidemiology, where estimating the distribution of usual intake is of primary interest, and semiparametric methods are not available. Extensions to the case of missing response data are also discussed.

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