Rank Reducible Varying Coefficient Model
Journal of Statistical Planning and Inference, Forthcoming
28 Pages Posted: 2 Dec 2008
Date Written: June 9, 2008
We propose in this article a novel dimension reduction method for varying coefficient models. The proposed method explores the rank reducible structure of those varying coefficients, hence, can do dimension reduction and semiparametric estimation, simultaneously. As a result, the new method not only improves estimation accuracy but also facilitates practical interpretation. To determine the structure dimension, a consistent BIC criterion is developed. Numerical experiments are also presented.
Keywords: BI; dimension reduction, semiparametric estimation, rank reducible varying coefficient model, varying coefficient model
JEL Classification: C5, C51
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