Abstract
Functional coefficient regression models are very useful for many statistics and economics applications and there exists a large body of literature on kernel estimation of the coefficient functions. Fan and Zhang (1999) point out that the traditional estimation method is not optimal if the coefficient functions possess different degrees of smoothness. They propose a two-step method to attenuate the drawback. To apply the two-step method, one needs to identify which coefficient function is the smoothest one and undersmooth all other functions in the first stage. In this paper we propose an alternative approach which assigns each smooth function a different bandwidth and we choose the bandwidths simultaneously. Simulation results show that our proposed method compare well with existing methods.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
