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

1st Person: Yang, Lijian
Additional Persons: Park, Byeong U.; Xue, Lan; Härdle, Wolfgang Karl; Härdle, Wolfgang
Type of Publication: Paper
Language: English
Published: SFB 649, Economic Risk 2005
Series: SFB 373 Discussion Paper
Keywords: Schätztheorie
Statistischer Test
Regression
Sozialprodukt
Deutschland
Statistical test
Regression analysis
National income
Germany
Online: https://www.econstor.eu/bitstream/10419/65358/1/727070851.pdf
Description: 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.

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