Averaged and Integrated Estimations of Varying-Coefficient Regression Models with Dependent Observations

Guo-Liang Fan and Hong-Xia Xu

Discrete Dynamics in Nature and Society, 2019, vol. 2019, 1-10

Abstract:

In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence. This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationary - mixing sequence. Both the averaged and integrated estimators of coefficient functions are proposed. The asymptotic normalities of the proposed averaged and integrated estimators are also established.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:7146793

DOI: 10.1155/2019/7146793

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