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

Lijian Yang; Wolfgang Härdle; Byeong U. Park

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. -- Equivalent kernels ; German real GNP ; Local polynomial ; Marginal Integration ; Rate of convergence

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Year of publication:	2002
Authors:	Yang, Lijian ; Härdle, Wolfgang ; Park, Byeong U.
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Schätztheorie \| Estimation theory \| Statistischer Test \| Statistical test \| Nationaleinkommen \| National income \| Deutschland \| Germany \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Regressionsanalyse \| Regression analysis \| Statistische Verteilung \| Statistical distribution \| Multiple Regression \| Multiple regression