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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
id
oai_econstor.eu_10419-25066
recordtype
econstor
institution
MPG
collection
ECONSTOR
title
Estimation and testing for varying coefficients in additive models with marginal integration
spellingShingle
Estimation and testing for varying coefficients in additive models with marginal integration
Schätztheorie
Statistischer Test
Regression
Sozialprodukt
Deutschland
Statistical test
Regression analysis
National income
Germany
Yang, Lijian
SFB 373 Discussion Paper
title_short
Estimation and testing for varying coefficients in additive models with marginal integration
title_full
Estimation and testing for varying coefficients in additive models with marginal integration
title_fullStr
Estimation and testing for varying coefficients in additive models with marginal integration
title_full_unstemmed
Estimation and testing for varying coefficients in additive models with marginal integration
title_sort
Estimation and testing for varying coefficients in additive models with marginal integration
format
electronic Article
format_phy_str_mv
Paper
publisher
SFB 649, Economic Risk
publishDate
2005
language
English
topic
Schätztheorie
Statistischer Test
Regression
Sozialprodukt
Deutschland
Statistical test
Regression analysis
National income
Germany
topic_facet
Statistical test
Regression analysis
National income
Germany
author
Yang, Lijian
author2
Park, Byeong U.
Xue, Lan
Härdle, Wolfgang Karl
Härdle, Wolfgang
author2Str
Park, Byeong U.
Xue, Lan
Härdle, Wolfgang Karl
Härdle, Wolfgang
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.
url
https://www.econstor.eu/bitstream/10419/65358/1/727070851.pdf
series
SFB 373 Discussion Paper
seriesStr
SFB 373 Discussion Paper
SFB 373 Discussion Paper
series2
SFB 373 Discussion Paper
series2_facet
SFB 373 Discussion Paper
up_date
2019-10-15T02:50:13.725Z
_version_
1647425978579812352

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