Robust bootstrap estimates in heteroscedastic semi-varying coefficient models and applications in analyzing Australia CPI data

2016 ◽  
Vol 46 (4) ◽  
pp. 2638-2653 ◽  
Author(s):  
Yan-Yong Zhao ◽  
Jin-Guan Lin ◽  
Hong-Xia Wang
Keyword(s):  
Varying Coefficient Models ◽  
Varying Coefficient ◽  
Bootstrap Estimates

Statistical Inference and Applications of Mixture of Varying Coefficient Models

2018 ◽  
Vol 45 (3) ◽  
pp. 618-643 ◽  
Author(s):  
Mian Huang ◽  
Weixin Yao ◽  
Shaoli Wang ◽  
Yixin Chen
Keyword(s):  
Statistical Inference ◽  
Varying Coefficient Models ◽  
Varying Coefficient

Empirical Likelihood Testing for Longitudinal Varying Coefficient Models

2014 ◽  
Vol 518 ◽  
pp. 356-360
Author(s):  
Chang Qing Liu
Keyword(s):  
Data Analysis ◽  
Empirical Likelihood ◽  
Real Data ◽  
Likelihood Method ◽  
Varying Coefficient Models ◽  
Empirical Likelihood Method ◽  
Real Data Analysis ◽  
Varying Coefficient ◽  
Testing Method

By using the empirical likelihood method, a testing method is proposed for longitudinal varying coefficient models. Some simulations and a real data analysis are undertaken to investigate the power of the empirical likelihood based testing method.

scholarly journals Estimation and inference of semi-varying coefficient models with heteroscedastic errors

2014 ◽  
Vol 124 ◽  
pp. 70-93 ◽  
Author(s):  
Si-Lian Shen ◽  
Jian-Ling Cui ◽  
Chang-Lin Mei ◽  
Chun-Wei Wang
Keyword(s):  
Varying Coefficient Models ◽  
Varying Coefficient ◽  
Heteroscedastic Errors

A NOTE ON MUTH'S RATIONAL EXPECTATIONS HYPOTHESIS: A TIME-VARYING COEFFICIENT INTERPRETATION

2006 ◽  
Vol 10 (3) ◽  
pp. 415-425 ◽  
Author(s):  
P.A.V.B. SWAMY ◽  
GEORGE S. TAVLAS
Keyword(s):  
Rational Expectations ◽  
Econometric Model ◽  
Objective Probability ◽  
Varying Coefficient Models ◽  
Time Varying ◽  
Exact Representation ◽  
Expectations Hypothesis ◽  
Varying Coefficient ◽  
True Model ◽  
Necessary And Sufficient

Under certain interpretations of its coefficients, a specified econometric model is an exact representation of the “true” model, defining the “objective” probability distribution. This note enumerates these interpretations. In the absence of the conditions implied by these interpretations, the econometric model is misspecified. The note shows that model misspecifications prevent the satisfaction of a necessary and sufficient condition for individual expectations to be rational in Muth's sense. Whereas restrictive forms of econometric models can give very inaccurate predictions, this note describes the conditions under which the predictions generated from time-varying coefficient models coincide with the predictions generated from the relevant economic theory.

Sign in / Sign up

Export Citation Format

Share Document