Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25066 
Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2005,047
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is es- tablished. These theoretical results are derived under the fairly general conditions of absolute regularity (b-mixing). Application of the test procedure to the West Ger- man real GNP data reveals that a partially linear varying coefficient model is best parsimonious in fitting the data dynamics, a fact that is also confirmed with residual diagnostics.
Schlagwörter: 
Equivalent kernels
German real GNP
Local polynomial
Marginal integration
Rate of convergence
Dokumentart: 
Working Paper

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