TY - JOUR
T1 - Testing a single regression coefficient in high dimensional linear models
AU - Lan, Wei
AU - Zhong, Ping Shou
AU - Li, Runze
AU - Wang, Hansheng
AU - Tsai, Chih Ling
N1 - Funding Information:
Wei Lan’s research was supported by National Natural Science Foundation of China (NSFC, 11401482 , 71532001 ). Ping-Shou Zhong’s research was supported by a National Science Foundation grant DMS 1309156 . Runze Li’s research was supported by a National Science Foundation grant DMS 1512422 , National Institute on Drug Abuse (NIDA) grants P50 DA039838 , P50 DA036107 , and R01 DA039854 . Hansheng Wang’s research was supported in part by National Natural Science Foundation of China (NSFC, 11131002 , 11271031 , 71532001 ), the Business Intelligence Research Center at Peking University , and the Center for Statistical Science at Peking University . The authors thank the Editor, the AE and reviewers for their constructive comments, which have led to a dramatic improvement of the earlier version of this paper. The content is solely the responsibility of the authors and does not necessarily represent the official views of the NSF, NIH and NIDA.
Publisher Copyright:
© 2016 Elsevier B.V.
PY - 2016/11/1
Y1 - 2016/11/1
N2 - In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the sample size. In this paper, we propose a simple and novel alternative by introducing the Correlated Predictors Screening (CPS) method to control for predictors that are highly correlated with the target covariate. Accordingly, the classical ordinary least squares approach can be employed to estimate the regression coefficient associated with the target covariate. In addition, we demonstrate that the resulting estimator is consistent and asymptotically normal even if the random errors are heteroscedastic. This enables us to apply the z-test to assess the significance of each covariate. Based on the p-value obtained from testing the significance of each covariate, we further conduct multiple hypothesis testing by controlling the false discovery rate at the nominal level. Then, we show that the multiple hypothesis testing achieves consistent model selection. Simulation studies and empirical examples are presented to illustrate the finite sample performance and the usefulness of the proposed method, respectively.
AB - In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the sample size. In this paper, we propose a simple and novel alternative by introducing the Correlated Predictors Screening (CPS) method to control for predictors that are highly correlated with the target covariate. Accordingly, the classical ordinary least squares approach can be employed to estimate the regression coefficient associated with the target covariate. In addition, we demonstrate that the resulting estimator is consistent and asymptotically normal even if the random errors are heteroscedastic. This enables us to apply the z-test to assess the significance of each covariate. Based on the p-value obtained from testing the significance of each covariate, we further conduct multiple hypothesis testing by controlling the false discovery rate at the nominal level. Then, we show that the multiple hypothesis testing achieves consistent model selection. Simulation studies and empirical examples are presented to illustrate the finite sample performance and the usefulness of the proposed method, respectively.
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U2 - 10.1016/j.jeconom.2016.05.016
DO - 10.1016/j.jeconom.2016.05.016
M3 - Article
C2 - 28663668
AN - SCOPUS:84990043656
SN - 0304-4076
VL - 195
SP - 154
EP - 168
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 1
ER -