Semiparametrics via parametrics and contiguity

TL;DR

This paper develops a rigorous method for semiparametric inference by approximating with parametric models and leveraging contiguity, simplifying analysis and establishing efficiency results.

Contribution

It introduces a novel approach that uses specific parametric approximations and contiguity to analyze semiparametric models more straightforwardly.

Findings

Provides a new proof of Cox partial likelihood estimator efficiency.

Connects semiparametric inference to classical parametric methods.

Illustrates the approach with partially linear and Cox regression models.

Abstract

Inference on the parametric part of a semiparametric model is no trivial task. If one approximates the infinite dimensional part of the semiparametric model by a parametric function, one obtains a parametric model that is in some sense close to the semiparametric model and inference may proceed by the method of maximum likelihood. Under regularity conditions, the ensuing maximum likelihood estimator is asymptotically normal and efficient in the approximating parametric model. Thus one obtains a sequence of asymptotically normal and efficient estimators in a sequence of growing parametric models that approximate the semiparametric model and, intuitively, the limiting 'semiparametric' estimator should be asymptotically normal and efficient as well. In this paper we make this intuition rigorous: we move much of the semiparametric analysis back into classical parametric terrain, and then translate our parametric results back to the semiparametric world by way of contiguity. Our approach departs from the conventional sieve literature by being more specific about the approximating parametric models, by working not only with but also under these when treating the parametric models, and by taking full advantage of the mutual contiguity that we require between the parametric and semiparametric models. We illustrate our theory with two canonical examples of semiparametric models, namely the partially linear regression model and the Cox regression model. An upshot of our theory is a new, relatively simple, and rather parametric proof of the efficiency of the Cox partial likelihood estimator.