Two-Step Likelihood Estimation Procedure for Varying-Coefficient Models

Zongwu Cai ()

Journal of Multivariate Analysis, 2002, vol. 82, issue 1, 189-209

Abstract: One of the advantages for the varying-coefficient model is to allow the coefficients to vary as smooth functions of other variables and the model can be estimated easily through a simple local quasi-likelihood method. This leads to a simple one-step estimation procedure. We show that such a one-step method cannot be optimal when some coefficient functions possess different degrees of smoothness. This drawback can be attenuated by using a two-step estimation approach. The asymptotic normality and mean-squared errors of the two-step method are obtained and it is also shown that the two-step estimation not only achieves the optimal convergent rate but also shares the same optimality as the ideal case where the other coefficient functions were known. A numerical study is carried out to illustrate the two-step method.

Keywords: asymptotic; normality; generalized; linear; model; local; polynomial; fitting; mean; squared; errors; optimal; convergent; rate; varying-coefficient; model (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(01)92013-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:82:y:2002:i:1:p:189-209

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().