Local Average Estimation and Inferences for Varying Coefficient Models

10/10/2018
by   Zhao Jingxin, et al.
0

The varying coefficient model is very popular in the application of finance, economics, medical science and many other areas, but the estimation and inference process are quite compute-intensive. This paper presents a local average method to reduce the computation burden. The estimation for the varying coefficients is discussed and is extended to the partially linear varying coefficient model. Furthermore, three tests are brought out to check whether certain coefficient is constant or even significant. The proposed tests are very easy to implement and their asymptotically distributions under null hypothesis have been deduced. Simulations and real data application are also studied to illustrate the local average method.

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