In this paper we investigate the estimation and testing of the functional coefficient linear models under dependence, which includes the functional coefficient autoregressive model of Chen and Tsay (1993). We use local linear smoothing to estimate the coefficient functions of a functional-coefficient linear model, prove their uniform consistency, and derive their asymptotic distributions in terms of Gaussian processes. From these distributions we can obtain some tests about coefficient functions and the model. Some simulations and a study of real data are reported. Copyright © 1999 Institute of Statistical Science, Academia Sinica.
|Publication status||Published - Jul 1999|
Local Linear Smoothing
CitationXia, Y., & Li, W. K. (1999). On the estimation and testing of functional-coefficient linear models. Statistica Sinica, 9(3), 735-757.
- FAR model
- Local linear smoother
- Nonparametric regression
- Strongly mixing sequence
- Wiene process