Series estimation of functional-coefficient partially linear regression model

Kien Tran and Mike Tsionas

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 15, 7593-7602

Abstract: This paper develops an alternative and complement estimation procedure for functional coefficient partially linear regression (FCPLR) model based on series method. We derive the convergence rates and asymptotic normality of the proposed estimator. We examine its finite sample performance and compare it with the two-step local linear estimator via a small scale Monte Carlo simulation.

Date: 2017
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DOI: 10.1080/03610926.2016.1157189

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