Rank Reducible Varying Coefficient Model

Journal of Statistical Planning and Inference, Forthcoming

28 Pages Posted: 2 Dec 2008

See all articles by Hansheng Wang

Hansheng Wang

Peking University - Guanghua School of Management

Date Written: June 9, 2008

Abstract

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

Suggested Citation

Wang, Hansheng, Rank Reducible Varying Coefficient Model (June 9, 2008). Journal of Statistical Planning and Inference, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1308330

Hansheng Wang (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

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