2013-07-17Buch DOI: 10.18452/4473
Estimation and Inference for Varying-coefficient Models with Nonstationary Regressors using Penalized Splines
This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel-based methods, but enjoys computation advantages. Utilizing the mixed model representation of penalized splines, we develop a likelihood ratio test statistic for checking the stability of the regression coefficients. We derive both the exact and the asymptotic null distributions of this test statistic. We also demonstrate its optimality by examining its local power performance. These theoretical fundings are well supported by simulation studies.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 33, SFB 649 Papers, ISSN:1860-5664