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Journal of the American Statistical Association Volume 114, 2019 - Issue 527
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Theory and Methods

Estimation and Identification of a Varying-Coefficient Additive Model for Locally Stationary Processes

Lixia HuShanghai Lixin University of Accounting and Finance, Shanghai, China;School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, ChinaView further author information
,
Tao HuangSchool of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, ChinaView further author information
&
Jinhong YouSchool of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, ChinaView further author information
Pages 1191-1204 | Received 01 Apr 2018, Published online: 26 Oct 2018

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Read on this site (4)

Tadao Hoshino. (2024) Estimating a Continuous Treatment Model with Spillovers: A Control Function Approach. Journal of Business & Economic Statistics 42:2, pages 591-602.
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Xufei Wang, Bo Jiang & Jun S. Liu. (2023) Varying Coefficient Model via Adaptive Spline Fitting. Journal of Computational and Graphical Statistics 0:0, pages 1-11.
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Lixia Hu, Yiming Tang & Qunfang Xu. (2023) Generalized varying-coefficient additive model for locally stationary time series. Journal of Statistical Computation and Simulation 93:8, pages 1337-1354.
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Yaxuan Zhao & Yuehan Yang. A robust estimation based on penalised regularisation for the varying-coefficient additive model. Journal of Nonparametric Statistics 0:0, pages 1-29.
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Articles from other publishers (8)

Rajae Azrak & Guy Mélard. (2022) Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches. Stats 5:3, pages 784-804.
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Shu Liu, Jinhong You & Lixia Hu. (2022) Unified statistical inference for a nonlinear dynamic functional/longitudinal data model. Journal of Statistical Planning and Inference 219, pages 175-188.
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Kashif Yousuf & Serena Ng. (2021) Boosting high dimensional predictive regressions with time varying parameters. Journal of Econometrics 224:1, pages 60-87.
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Pavel Čížek & Chao Hui Koo. (2021) Jump-preserving varying-coefficient models for nonlinear time series. Econometrics and Statistics 19, pages 58-96.
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Jun Jin, Tiefeng Ma & Jiajia Dai. (2020) New efficient spline estimation for varying-coefficient models with two-step knot number selection. Metrika 84:5, pages 693-712.
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Jianhua Hu, Hao Ding, Liangyuan Liu & Jingyan Feng. (2020) Statistical inference of locally stationary functional coefficient models. Journal of Statistical Planning and Inference 209, pages 27-43.
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Xiaoke Zhang, Qixian Zhong & Jane-Ling Wang. (2020) A new approach to varying-coefficient additive models with longitudinal covariates. Computational Statistics & Data Analysis 145, pages 106912.
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Marina Friedrich. (2021) Sieve Bootstrap Inference for Time-Varying Coefficient Models. SSRN Electronic Journal.
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