Statistical inference in partially time-varying coefficient models

DOI10.1016/j.jspi.2010.09.004zbMath1200.62108MaRDI QIDQ607224

Zheng Yan Lin, Jia Chen, Degui Li

Publication date: 19 November 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.09.004

zbMATH Keywords

semiparametric regression; local linear smoother; profile least squares; generalized likelihood ratio statistics; time-varying coefficient model

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62H15: Hypothesis testing in multivariate analysis