Functional Coefficient Estimation with Both Categorical and Continuous Data

• 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
• Institution: Singapore Management University

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...