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Estimation of semi-varying coefficient models with nonstationary regressors

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  • Kunpeng Li
  • Degui Li
  • Zhongwen Liang
  • Cheng Hsiao

Abstract

We study a semivarying coefficient model where the regressors are generated by the multivariate unit root I(1) processes. The influence of the explanatory vectors on the response variable satisfies the semiparametric partially linear structure with the nonlinear component being functional coefficients. A semiparametric estimation methodology with the first-stage local polynomial smoothing is applied to estimate both the constant coefficients in the linear component and the functional coefficients in the nonlinear component. The asymptotic distribution theory for the proposed semiparametric estimators is established under some mild conditions, from which both the parametric and nonparametric estimators are shown to enjoy the well-known super-consistency property. Furthermore, a simulation study is conducted to investigate the finite sample performance of the developed methodology and results.

Suggested Citation

  • Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao, 2017. "Estimation of semi-varying coefficient models with nonstationary regressors," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 354-369, March.
    • Handle: RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:354-369
    DOI: 10.1080/07474938.2015.1114563
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    Cited by:

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    3. Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
    4. Polbin, Andrey & Skrobotov, Anton, 2022. "On decrease in oil price elasticity of GDP and investment in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 5-24.
    5. Badi H. Baltagi & Georges Bresson & Jean-Michel Etienne, 2020. "Growth Empirics: a Bayesian Semiparametric Model With Random Coefficients for a Panel of OECD Countries," Advances in Econometrics, in: Essays in Honor of Cheng Hsiao, volume 41, pages 217-253, Emerald Group Publishing Limited.
    6. Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
    7. Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 353-369, November.

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