Arbeitspapier

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

zu Verbundenen Objekten

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 es- tablished. These theoretical results are derived under the fairly general conditions of absolute regularity (b-mixing). Application of the test procedure to the West Ger- man real GNP data reveals that a partially linear varying coefficient model is best parsimonious in fitting the data dynamics, a fact that is also confirmed with residual diagnostics.

Sprache
Englisch

Erschienen in
Series: SFB 649 Discussion Paper ; No. 2005,047

Klassifikation
Wirtschaft
Thema
Equivalent kernels
German real GNP
Local polynomial
Marginal integration
Rate of convergence
Schätztheorie
Statistischer Test
Regression
Sozialprodukt
Deutschland

Ereignis
Geistige Schöpfung
(wer)
Yang, Lijian
Park, Byeong U.
Xue, Lan
Härdle, Wolfgang Karl
Ereignis
Veröffentlichung
(wer)
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
(wo)
Berlin
(wann)
2005

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Yang, Lijian
  • Park, Byeong U.
  • Xue, Lan
  • Härdle, Wolfgang Karl
  • Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Entstanden

  • 2005

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