Resource title

Estimation and testing for varying coefficients in additive models with marginal integration

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Resource description

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is es- tablished. These theoretical results are derived under the fairly general conditions of absolute regularity (b-mixing). Application of the test procedure to the West Ger- man real GNP data reveals that a partially linear varying coefficient model is best parsimonious in fitting the data dynamics, a fact that is also confirmed with residual diagnostics.

Resource author

Lijian Yang, Byeong U. Park, Lan Xue, Wolfgang Karl Härdle

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/25066

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Adapt according to the presented license agreement and reference the original author.