Estimation in generalised varying-coefficient models with unspecified link functions

DOI10.1016/J.JECONOM.2015.02.022zbMATH Open1337.62086OpenAlexW2088120227MaRDI QIDQ494394FDOQ494394

Authors: Degui Li, Wenyang Zhang, Yingcun Xia 

Publication date: 1 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.022

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zbMATH Keywords

identifiabilitykernel smoothingweighted least squaresgeneralised varying-coefficient modelsiterative estimation procedure

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Generalized linear models (logistic models) (62J12)

Cites Work

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Cited In (12)

• SiZer inference for generalized varying coefficient models
• Identification and estimation in quantile varying-coefficient models with unknown link function
• Varying coefficient functional autoregressive model with application to the U.S. treasuries
• Semiparametric model for covariance regression analysis
• Estimation and Inference for Dynamic Single-Index Varying-Coefficient Models
• Generalized varying coefficient models with unknown link function
• Efficient estimation and computation for the generalised additive models with unknown link function
• Estimation and testing for time-varying quantile single-index models with longitudinal data
• Quantile regression of dynamic single index varying coefficient models
• The consistency of model selection for dynamic Semi-varying coefficient models with autocorrelated errors
• Efficient estimation and computation in generalized varying coefficient models with unknown link and variance functions for large-scale data
• Robust MAVE for single-index varying-coefficient models

Uses Software

• KernSmooth

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