Simultaneous confidence band and hypothesis test in generalised varying-coefficient models

Wenyang Zhang and Heng Peng

Journal of Multivariate Analysis, 2010, vol. 101, issue 7, 1656-1680

Abstract: Generalised varying-coefficient models (GVC) are very important models. There are a considerable number of literature addressing these models. However, most of the existing literature are devoted to the estimation procedure. In this paper, we systematically investigate the statistical inference for GVC, which includes confidence band as well as hypothesis test. We establish the asymptotic distribution of the maximum discrepancy between the estimated functional coefficient and the true functional coefficient. We compare different approaches for the construction of confidence band and hypothesis test. Finally, the proposed statistical inference methods are used to analyse the data from China about contraceptive use there, which leads to some interesting findings.

Keywords: Local; linear; modelling; Generalised; varying-coefficient; models; Hypothesis; test; Simultaneous; confidence; band; Generalised; likelihood; ratio; test (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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