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Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

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Author Info
Lijian Yang
Byeong U. Park
Lan Xue
Wolfgang Härdle

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Abstract

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 (beta-mixing). Application of the test procedure to the West German 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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Publisher Info
Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2005-047.

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Length: 44 pages
Date of creation: Sep 2005
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Handle: RePEc:hum:wpaper:sfb649dp2005-047

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Related research
Keywords: adaptive volatility estimation generalized hyperbolic distribution value at risk risk management

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Yang, Lijian & Tschernig, Rolf, 2002. "Non- And Semiparametric Identification Of Seasonal Nonlinear Autoregression Models," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1408-1448, September. [Downloadable!]
    Other versions:
  2. Sperlich, Stefan & Tj stheim, Dag & Yang, Lijian, 2002. "Nonparametric Estimation And Testing Of Interaction In Additive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 197-251, May. [Downloadable!]
    Other versions:
  3. J. Fan & W. H"Ardle & E. Mammen, . "Direct estimation of low dimensional components in additive models," Sonderforschungsbereich 373 1996-17, Humboldt Universitaet Berlin.
  4. Oliver Linton & E. Mammen & J. Nielsen, 1997. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions," Cowles Foundation Discussion Papers 1160, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  5. O. B. Linton & W. H"Ardle, . "Estimation of Additive Regression Models with Links," Sonderforschungsbereich 373 1995-48, Humboldt Universitaet Berlin.
  6. repec:cup:etheor:v:13:y:1997:i:2:p:214-52 is not listed on IDEAS
  7. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ajit Ghose, 2005. "Employment in China: Recent trends and future challenges," Employment strategy papers 2005-14, International Labour Office. [Downloadable!]
  2. María Echart, 2003. "Educación universitaria Aportes para el debate acerca de su efectividad y equidad," Working Papers 79, FIEL. [Downloadable!]
  3. Francesco Daveri & Cecilia Jona-Lasinio, . "Italy’s Decline: Getting the Facts Right," Working Papers 301, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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  4. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2005. "Portfolio Value at Risk Based on Independent Components Analysis," SFB 649 Discussion Papers SFB649DP2005-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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