Semiparametric regression models with multiple covariates are commonly encountered. When there are covariates not associated with response variable, variable selection may lead to sparser models, more lucid interpretations and more accurate estimation. In this study, we adopt a sieve approach for the estimation of nonparametric covariate effects in semiparametric regression models. We adopt a two-step iterated penalization approach for variable selection. In the first step, a mixture of the Lasso and group Lasso penalties are employed to conduct the first-round variable selection and obtain the initial estimate. In the second step, a mixture of the weighted Lasso and weighted group Lasso penalties, with weights constructed using the initial estimate, are employed for variable selection. We show that the proposed iterated approach has the variable selection consistency property, even when number of unknown parameters diverges with sample size. Numerical studies, including simulation and analysis of a diabetes dataset, show satisfactory performance of the proposed approach.
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