Inference on modelling cross-sectional dependence for a varying-coefficient model

DOI10.1016/J.ECONLET.2016.05.008MaRDI QIDQ1670140zbMATH OpenOpenAlexFDO

Authors Bin Peng

Publication date 5 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://opus.bath.ac.uk/55108/1/Model3.pdf

zbMATH Keywords

asymptotic theorycross-sectional dependencevarying-coefficient

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20)

Recommendations

• Estimation for varying coefficient panel data model with cross-sectional dependence
• Averaged and integrated estimations of varying-coefficient regression models with dependent observations
• Wavelet estimation in varying coefficient models for censored dependent data
• Robust wavelet-based estimation for varying coefficient dynamic models under long-dependent structures
• Robust estimation under error cross section dependence

Cites work

• Asymptotic theory for nonparametric regression with spatial data
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Panel data models with interactive fixed effects
• Series estimation under cross-sectional dependence
• Shrinkage estimation of the varying coefficient model
• Smooth varying-coefficient estimation and inference for qualitative and quantitative data

Cited in

(1)

• Codependent VAR models and the pseudo-structural form

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