Functional index coefficient models with variable selection

DOI10.1016/J.JECONOM.2015.03.022MaRDI QIDQ888320zbMATH OpenOpenAlexFDO

Authors Ted Juhl, Bingduo Yang, Zongwu Cai

Publication date 30 October 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2015.03.022

zbMATH Keywords

model selectionoracle propertypenalty functionsmoothly clipped absolute deviationfunctional index coefficient autoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Economic time series analysis (91B84)

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Cited in

(12)

• Robust functional coefficient selection for the single-index varying coefficients regression model
• Time-varying quantile single-index model for multivariate responses
• Series estimation for single-index models under constraints
• Quantile index coefficient model with variable selection
• Estimation of semi-parametric additive coefficient model
• Frontiers in time series and financial econometrics: an overview
• Model and variable selection procedures for semiparametric time series regression
• Penalized time-varying model averaging
• An IV estimator for a functional coefficient model with endogenous discrete treatments
• Predictive functional linear models with diverging number of semiparametric single-index interactions
• Time-Varying Mixture Copula Models with Copula Selection
• Time-varying forecast combination for high-dimensional data

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