Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62748
Authors: 
Kim, Woocheol
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,101
Abstract: 
This paper suggests a general functional-coefficient regression model in a form of ARX time series model. Contrast to the common threshold variable in the previous works, our model allows each coefficient to possess a different threshold variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local linear smoothing and marginal integration. The asymptotic normality of the proposed estimator is derived with the explicit form of bias and variance.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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