Orthogonal weighted empirical likelihood-based variable selection for semiparametric instrumental variable models

In this article, we consider the variable selection for a class of semiparametric instrumental variable models. By combining orthogonal weighting technology and empirical likelihood method, we propose an orthogonal weighted empirical likelihood-based variable selection procedure. Under some mild conditions, the consistency and sparsity of the variable selection procedure are studied. Furthermore, some simulation studies and a real data analysis are carried out to examine the finite-sample performance of the proposed method.