Functional Coefficient Estimation with Both Categorical and Continuous Data

Functional Coefficient Estimation with Both Categorical and Continuous Data

We propose a local linear functional coefficient estimator that admits a mix of discrete and continuous data for stationary time series. Under weak conditions our estimator is asymptotically normally distributed. A small set of simulation studies is carried out to illustrate the finite sample perfor...

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Bibliographic Details
Main Authors: SU, Liangjun, CHEN, Ye, ULLAH, Aman
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Discrete variables
Functional coefficient estimation
Local linear estimation
Crossvalidation
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/336
https://ink.library.smu.edu.sg/context/soe_research/article/1335/viewcontent/Functional_Coefficient_Estimation_with_Both_Categorical_afv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/336
https://ink.library.smu.edu.sg/context/soe_research/article/1335/viewcontent/Functional_Coefficient_Estimation_with_Both_Categorical_afv.pdf

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