Coefficient-Wise Tree-Based Varying Coefficient Regression with vcrpart

Reto Bürgin and Gilbert Ritschard

Journal of Statistical Software, 2017, vol. 080, issue i06

Abstract: The tree-based TVCM algorithm and its implementation in the R package vcrpart are introduced for generalized linear models. The purpose of TVCM is to learn whether and how the coefficients of a regression model vary by moderating variables. A separate partition is built for each potentially varying coefficient, allowing the user to specify coefficient-specific sets of potential moderators, and allowing the algorithm to select moderators individually by coefficient. In addition to describing the algorithm, the TVCM is evaluated using a benchmark comparison and a simulation study and the R commands are demonstrated by means of empirical applications.

Date: 2017-08-29
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:080:i06

DOI: 10.18637/jss.v080.i06

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