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Yang, Lijian
Härdle, Wolfgang
Park, Byeong U.
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,75
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 established. These theoretical results are derived under the fairly general conditions of absolute regularity (ß-mixing). Application of the test procedure to the West German real GNP data reveals that a partially linear varying coefficient model fits best the data dynamics, a fact that is also confirmed with residual diagnostics.
Equivalent kernels
German real GNP
Local polynomial
Marginal Integration
Rate of convergence
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Working Paper

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