Adaptive varying-coefficient linear models for stochastic processes: asymptotic theory

Zudi Lu, Dag Tjøstheim and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We have established the asymptotic theory for the estimation of adaptive varying-coe�cient linear models. More speci�cally we have shown that the estimator for the global index parameter is root-n consistent without imposing, as a prerequisite, that the estimator is within n

Keywords: adaptive varying-coe�cient model; mixing; asymptotic normality; index parameter; root-n consistency; uniform convergence. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2007-01
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Citations: View citations in EconPapers (9)

Published in Statistica Sinica, January, 2007, 17(1), pp. 177-198. ISSN: 1017-0405

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