Estimation of Hilbertian varying coefficient models

By using the empirical likelihood method, a testing method is proposed for longitudinal varying coefficient models. Some simulations and a real data analysis are undertaken to investigate the power of the empirical likelihood based testing method.

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Empirical likelihood for partially linear varying-coefficient models with missing response variables and error-prone covariates

Journal of the Korean Statistical Society ◽

10.1016/j.jkss.2011.06.004 ◽

2012 ◽

Vol 41 (1) ◽

pp. 97-103 ◽

Cited By ~ 12

Author(s):

Chuanhua Wei ◽

Changlin Mei

Keyword(s):

Empirical Likelihood ◽

Varying Coefficient Models ◽

Missing Response ◽

Varying Coefficient ◽

Partially Linear ◽

Response Variables

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Estimation and inference of semi-varying coefficient models with heteroscedastic errors

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2013.10.010 ◽

2014 ◽

Vol 124 ◽

pp. 70-93 ◽

Cited By ~ 9

Author(s):

Si-Lian Shen ◽

Jian-Ling Cui ◽

Chang-Lin Mei ◽

Chun-Wei Wang

Keyword(s):

Varying Coefficient Models ◽

Varying Coefficient ◽

Heteroscedastic Errors

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A NOTE ON MUTH'S RATIONAL EXPECTATIONS HYPOTHESIS: A TIME-VARYING COEFFICIENT INTERPRETATION

Macroeconomic Dynamics ◽

10.1017/s1365100506050267 ◽

2006 ◽

Vol 10 (3) ◽

pp. 415-425 ◽

Cited By ~ 7

Author(s):

P.A.V.B. SWAMY ◽

GEORGE S. TAVLAS

Keyword(s):

Rational Expectations ◽

Econometric Model ◽

Objective Probability ◽

Varying Coefficient Models ◽

Time Varying ◽

Exact Representation ◽

Expectations Hypothesis ◽

Varying Coefficient ◽

True Model ◽

Necessary And Sufficient

Under certain interpretations of its coefficients, a specified econometric model is an exact representation of the “true” model, defining the “objective” probability distribution. This note enumerates these interpretations. In the absence of the conditions implied by these interpretations, the econometric model is misspecified. The note shows that model misspecifications prevent the satisfaction of a necessary and sufficient condition for individual expectations to be rational in Muth's sense. Whereas restrictive forms of econometric models can give very inaccurate predictions, this note describes the conditions under which the predictions generated from time-varying coefficient models coincide with the predictions generated from the relevant economic theory.

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