ABSTRACT This paper is concerned with the testing on regression coefficients of high‐dimensional partially linear regression models. An improved power enhancement test method is proposed based on the ‐statistic type test via random integration technique, and the asymptotic distribution of the proposed test statistic is investigated under a more general distribution assumption of the explanatory random vector. It is shown that the proposed test method is more universal and it outperforms the existing method in terms of power under some situations by the asymptotic relative efficiency. The finite‐sample performance of the proposed test method is evaluated through numerical studies, which demonstrate that the proposed test method is more powerful than the existing method in a wide range of alternative hypothesis settings.
Ma et al. (Tue,) studied this question.