Local estimation for varying-coefficient models with longitudinal data

Hongmei Lin, Riquan Zhang and Jianhong Shi

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7511-7528

Abstract: Varying-coefficient models are very useful for longitudinal data analysis. In this paper, we focus on varying-coefficient models for longitudinal data. We develop a new estimation procedure using Cholesky decomposition and profile least squares techniques. Asymptotic normality for the proposed estimators of varying-coefficient functions has been established. Monte Carlo simulation studies show excellent finite-sample performance. We illustrate our methods with a real data example.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:15:p:7511-7528

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DOI: 10.1080/03610926.2016.1154156

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