Variable Bandwidth Selection in Varying-Coefficient Models

Wenyang Zhang and Sik-Yum Lee

Journal of Multivariate Analysis, 2000, vol. 74, issue 1, 116-134

Abstract: The varying-coefficient model is an attractive alternative to the additive and other models. One important method in estimating the coefficient functions in this model is the local polynomial fitting approach. In this approach, the choice of bandwidth is crucial. If the unknown curve is spatial homogeneous, a constant bandwidth is sufficient. However, for estimating curves with a more complicated structure, a variable bandwidth is needed. The present article focuses on a variable bandwidth selection procedure, and provides the conditional bias and the conditional variance of the estimator, the convergence rate of the bandwidth, and the asymptotic distribution of its error relative to the theoretical optimal variable bandwidth.

Keywords: varying-coefficient models; local polynomial fitting; data-driven bandwidth selection; relative error; asymptotic normality; assessment of conditional bias and variance (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (20)

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