Averaged and Integrated Estimations of Varying-Coefficient Regression Models with Dependent Observations

Abstract EN

In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence.

This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationary α-mixing sequence.

Both the averaged and integrated estimators of coefficient functions are proposed.

The asymptotic normalities of the proposed averaged and integrated estimators are also established.