Two-step likelihood estimation procedure for varying-coefficient models

DOI10.1006/jmva.2001.2013zbMath0995.62039OpenAlexW2012934386MaRDI QIDQ697475

Zong-Wu Cai

Publication date: 17 September 2002

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.2001.2013

zbMATH Keywords

asymptotic normalitylocal polynomial fittingoptimal convergence ratemean squared errors

Mathematics Subject Classification ID

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

Related Items (15)

Functional coefficient instrumental variables models ⋮ Functional-coefficient models for nonstationary time series data ⋮ Asymptotic Normality ofM-Estimators for Varying Coefficient Models with Longitudinal Data ⋮ A similarity-based approach to time-varying coefficient non-stationary autoregression ⋮ An alternative bandwidth selection method for estimating functional coefficient models ⋮ On two-step estimation for varying coefficient models ⋮ Efficient estimation in varying coefficient regression models ⋮ Varying Coefficient Regression Models: A Review and New Developments ⋮ Location Multiplicative Error Models with Quasi Maximum Likelihood Estimation ⋮ Reducing component estimation for varying coefficient models ⋮ Quantile regression in varying coefficient models. ⋮ SiZer inference for generalized varying coefficient models ⋮ Semiparametric quantile regression estimation in dynamic models with partially varying coefficients ⋮ Functional coefficient seasonal time series models with an application of Hawaii tourism data ⋮ New efficient spline estimation for varying-coefficient models with two-step knot number selection

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• Functional-Coefficient Autoregressive Models

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