Functional regression of continuous state distributions

Joon Y. Park and Junhui Qian

Journal of Econometrics, 2012, vol. 167, issue 2, 397-412

Abstract: In this paper, we consider a regression model to study the distributional relationship between economic variables. Unlike the classical regression dealing exclusively with mean relationship, our model can be used to analyze the entire dependent structure in distribution. Technically, we treat density functions as random elements and represent the regression relationship as a compact linear operator in the Hilbert spaces of square integrable functions. We propose a consistent estimation procedure for our model, and develop a test to investigate the dependent structure of moments. An empirical example is provided to illustrate how our methodology can be implemented in practical applications.

Keywords: Functional regression; Time-varying density; Moment dependence (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:167:y:2012:i:2:p:397-412

DOI: 10.1016/j.jeconom.2011.09.024

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