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

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

No 2005-047, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: 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.

Keywords: Equivalent kernels; German real GNP; Local polynomial; Marginal integration; Rate of convergence (search for similar items in EconPapers)
Date: 2005
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Related works:
Journal Article: Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration (2006)
Working Paper: Estimation and testing for varying coefficients in additive models with marginal integration (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2005-047

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