Estimation and testing for varying coefficients in additive models with marginal integration

Lijian Yang, Wolfgang Härdle and Byeong U. Park

No 2002,75, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical results are derived under the fairly general conditions of absolute regularity (ß-mixing). Application of the test procedure to the West German real GNP data reveals that a partially linear varying coefficient model fits best the data dynamics, a fact that is also confirmed with residual diagnostics.

Keywords: Equivalent kernels; German real GNP; Local polynomial; Marginal Integration; Rate of convergence (search for similar items in EconPapers)
Date: 2002
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/65358/1/727070851.pdf (application/pdf)

Related works:
Journal Article: Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration (2006)
Working Paper: Estimation and testing for varying coefficients in additive models with marginal integration (2005)
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:zbw:sfb373:200275

Access Statistics for this paper

More papers in SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().