Categorical semiparametric varying-coefficient models

doi:10.1002/jae.1261

CORC > 上海财经大学 > 上海财经大学

	Categorical semiparametric varying-coefficient models
	Li, Qi 1; Ouyang, Desheng 2; Racine, Jeffrey S.3
刊名	JOURNAL OF APPLIED ECONOMETRICS
	2013-06-01
卷号	28 期号:4 页码:551-579
ISSN号	0883-7252
DOI	10.1002/jae.1261
英文摘要	Semiparametric varying-coefficient models have become a common fixture in applied data analysis. Existing approaches, however, presume that those variables affecting the coefficients are continuous in nature (or that there exists at least one such continuous variable) which is often not the case. Furthermore, when all variables affecting the coefficients are categorical/discrete, theoretical underpinnings cannot be obtained as a special case of existing approaches and, as such, requires a separate treatment. In this paper we use kernel-based methods that place minimal structure on the underlying mechanism governing parameter variation across categorical variables while providing a consistent and efficient approach that may be of interest to practitioners. One area where such models could be particularly useful is in settings where interactions among the categorical and real-valued predictors consume many (or even exhaust) degrees of freedom for fully parametric models (which is frequently the case in applied settings). Furthermore, we demonstrate that our approach behaves optimally when in fact there is no variation in a model's coefficients across one or more of the categorical variables (i.e. the approach pools over such variables with a high probability). An illustrative application demonstrates potential benefits for applied researchers. Copyright (c) 2011 John Wiley & Sons, Ltd.
WOS研究方向	Business & Economics ; Mathematical Methods In Social Sciences
语种	英语
出版者	WILEY-BLACKWELL
WOS记录号	WOS:000318239700002
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1979]
专题	上海财经大学
通讯作者	Racine, Jeffrey S.
作者单位	1.Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA; 2.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China; 3.McMaster Univ, Dept Econ, Hamilton, ON, Canada
推荐引用方式 GB/T 7714	Li, Qi,Ouyang, Desheng,Racine, Jeffrey S.. Categorical semiparametric varying-coefficient models[J]. JOURNAL OF APPLIED ECONOMETRICS,2013,28(4):551-579.
APA	Li, Qi,Ouyang, Desheng,&Racine, Jeffrey S..(2013).Categorical semiparametric varying-coefficient models.JOURNAL OF APPLIED ECONOMETRICS,28(4),551-579.
MLA	Li, Qi,et al."Categorical semiparametric varying-coefficient models".JOURNAL OF APPLIED ECONOMETRICS 28.4(2013):551-579.