 Functional coefficient regression models with time trendZhongwen Liang () and Qi Li Journal of Econometrics, 2012, vol. 170, issue 1, 15-31 Abstract: We consider the problem of estimating a varying coefficient regression model when regressors include a time trend. We show that the commonly used local constant kernel estimation method leads to an inconsistent estimation result, while a local polynomial estimator yields a consistent estimation result. We establish the asymptotic normality result for the proposed estimator. We also provide asymptotic analysis of the data-driven (least squares cross validation) method of selecting the smoothing parameters. In addition, we consider a partially linear time trend model and establish the asymptotic distribution of our proposed estimator. Two test statistics are proposed to test the null hypotheses of a linear and of a partially linear time trend models. Simulations are reported to examine the finite sample performances of the proposed estimators and the test statistics. Keywords: Varying coefficient model; Time trend; Partially linear model; Specification tests (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:170:y:2012:i:1:p:15-31 DOI: 10.1016/j.jeconom.2011.08.009 Access Statistics for this article Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson More articles in Journal of Econometrics from Elsevier |
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