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Estimation in generalised varying-coefficient models with unspecified link functions

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  • Zhang, Wenyang
  • Li, Degui
  • Xia, Yingcun

Abstract

In this paper, we study the generalised varying-coefficient models, where the link function is unspecified and the response variable can be either continuous or discrete. As the link function is unspecified, the models under investigation become unidentifiable. In this paper, we derive an identification condition for the generalised varying-coefficient models, which is much weaker and more reasonable than that given by Kuruwita et al. (2011) whose model can be seen as a special case of our modelling framework. Under the identification condition, we introduce a nonparametric iterative procedure to estimate the functional coefficient with its direction and norm as well as the unspecified link function, and then establish the asymptotic properties of the resulting nonparametric estimators. Furthermore, a weighted least squares based algorithm is provided to implement the iterative estimation procedure. The simulation studies and empirical application show that our estimation methodology works quite well in both small and median sample cases.

Suggested Citation

  • Zhang, Wenyang & Li, Degui & Xia, Yingcun, 2015. "Estimation in generalised varying-coefficient models with unspecified link functions," Journal of Econometrics, Elsevier, vol. 187(1), pages 238-255.
    • Handle: RePEc:eee:econom:v:187:y:2015:i:1:p:238-255
    DOI: 10.1016/j.jeconom.2015.02.022
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    References listed on IDEAS

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    Cited by:

    1. Lili Yue & Gaorong Li & Heng Lian, 2019. "Identification and estimation in quantile varying-coefficient models with unknown link function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1251-1275, December.
    2. Lin, Huazhen & Pan, Lixian & Lv, Shaogao & Zhang, Wenyang, 2018. "Efficient estimation and computation for the generalised additive models with unknown link function," Journal of Econometrics, Elsevier, vol. 202(2), pages 230-244.
    3. Xu, Meng & Li, Jialiang & Chen, Ying, 2017. "Varying coefficient functional autoregressive model with application to the U.S. treasuries," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 168-183.

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    More about this item

    Keywords

    Generalised varying-coefficient models; Identifiability; Iterative estimation procedure; Kernel smoothing; Weighted least squares;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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