Simultaneous Inference of the Partially Linear Model with a Multivariate Unknown Function

Abstract In this paper, we conduct simultaneous inference of the non-parametric part of a partially linear model when the non-parametric component is a multivariate unknown function. Based on semi-parametric estimates of the model, we construct a simultaneous confidence region of the multivariate function for simultaneous inference. The developed methodology is applied to perform simultaneous inference for the U.S. gasoline demand where the income and price variables are contaminated by Berkson errors. The empirical results strongly suggest that the linearity of the U . S . gasoline demand is rejected. The results are also used to propose an alternative form for the demand.