Estimation in generalised varying-coefficient models with unspecified link functions

DOI10.1016/j.jeconom.2015.02.022zbMath1337.62086OpenAlexW2088120227MaRDI QIDQ494394

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

zbMATH Keywords

iterative estimation procedurekernel smoothingidentifiabilityweighted least squaresgeneralised varying-coefficient models

Mathematics Subject Classification ID

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

Related Items

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

Uses Software

• KernSmooth

Cites Work

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