Estimation of a rank-reduced functional-coefficient panel data model with serial correlation
We consider estimation of a functional-coefficient panel data model. This model is useful for modeling time varying and cross-sectionally heterogeneous relationships between economic variables. We allow for serial correlation and heteroscedasticity in the model. When the number of explanatory variab...
Saved in:
| Published in | Journal of multivariate analysis Vol. 173; pp. 456 - 479 |
|---|---|
| Main Authors | , , |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier Inc
01.09.2019
|
| Subjects | |
| Online Access | Get full text |
Cover
Loading…
| Abstract | We consider estimation of a functional-coefficient panel data model. This model is useful for modeling time varying and cross-sectionally heterogeneous relationships between economic variables. We allow for serial correlation and heteroscedasticity in the model. When the number of explanatory variables is large, we impose a rank-reduced structure on the model’s functional coefficients to reduce the number of functions to be estimated and thus improve estimation efficiency. To adjust for serial correlation and further improve estimation efficiency, we use a Cholesky decomposition on the serial covariance matrices to produce a transformation of the original panel data model. By applying the standard semiparametric profile least squares method to the transformed model, more efficient estimates of the coefficient functions can be obtained. Under some regularity conditions, we derive the asymptotic distribution for the developed semiparametric estimators and show their efficiency improvement under correct specification of the serial covariance matrices. To attain this efficiency gain when the serial covariance structure is unknown, we propose approaches to consistently estimate the lower triangular matrix in the Cholesky decomposition for balanced panel data, and the serial covariance matrices for unbalanced panel data. Numerical studies, including Monte Carlo experiments and an empirical application to economic growth data, show that the developed semiparametric method works reasonably well in finite samples. |
|---|---|
| AbstractList | We consider estimation of a functional-coefficient panel data model. This model is useful for modeling time varying and cross-sectionally heterogeneous relationships between economic variables. We allow for serial correlation and heteroscedasticity in the model. When the number of explanatory variables is large, we impose a rank-reduced structure on the model’s functional coefficients to reduce the number of functions to be estimated and thus improve estimation efficiency. To adjust for serial correlation and further improve estimation efficiency, we use a Cholesky decomposition on the serial covariance matrices to produce a transformation of the original panel data model. By applying the standard semiparametric profile least squares method to the transformed model, more efficient estimates of the coefficient functions can be obtained. Under some regularity conditions, we derive the asymptotic distribution for the developed semiparametric estimators and show their efficiency improvement under correct specification of the serial covariance matrices. To attain this efficiency gain when the serial covariance structure is unknown, we propose approaches to consistently estimate the lower triangular matrix in the Cholesky decomposition for balanced panel data, and the serial covariance matrices for unbalanced panel data. Numerical studies, including Monte Carlo experiments and an empirical application to economic growth data, show that the developed semiparametric method works reasonably well in finite samples. |
| Author | Chen, Jia Li, Degui Xia, Yingcun |
| Author_xml | – sequence: 1 givenname: Jia surname: Chen fullname: Chen, Jia email: jia.chen@york.ac.uk organization: Department of Economics and Related Studies, University of York, YO10 5DD, United Kingdom – sequence: 2 givenname: Degui surname: Li fullname: Li, Degui organization: Department of Mathematics, University of York, YO10 5DD, United Kingdom – sequence: 3 givenname: Yingcun surname: Xia fullname: Xia, Yingcun organization: Department of Statistics and Applied Probability, National University of Singapore, 117546, Singapore |
| BookMark | eNp9kE1LAzEQhoNUsK3-AU_5A7tO9jvgRUr9AMGLggchTJMJpm53S5JW_Pfutp489DQvDM_LzDNjk67viLFrAakAUd2s0_Vmj2kGQqZQpADlGZsKkGVSZ0U-YVOAok6yUr5fsFkIawAhyrqYso9liG6D0fUd7y1H7rH7SjyZnSbD7a7T4wrbRPdkrdOOusi32FHLDUbkm94M8dvFTx7IO2y57r2n9tB4yc4ttoGu_uacvd0vXxePyfPLw9Pi7jnROUBMJAqjpaVVlVcNWjQaoTF5KY0okfJGN1ZWtrLaIDZINRY4Rlk2WsBKinzOmmOv9n0InqzSLh4uiB5dqwSo0ZJaq9GSGi0pKNRgaUCzf-jWDz78z2no9gjR8NTekVdhFDMYc550VKZ3p_Bfbc-G9g |
| CitedBy_id | crossref_primary_10_1016_j_jspi_2024_106244 crossref_primary_10_1080_10485252_2021_1951265 |
| Cites_doi | 10.1111/rssb.12065 10.1016/j.jeconom.2015.03.003 10.4310/SII.2008.v1.n1.a15 10.1017/S0266466608090142 10.1016/j.jspi.2014.11.008 10.1111/j.1467-9868.2008.00656.x 10.1016/S1574-0684(05)01008-7 10.1198/016214504000001745 10.1214/10-AOS845 10.1017/S0266466608080523 10.1080/01621459.1993.10594322 10.1080/01621459.2012.736904 10.1198/016214507000000095 10.1093/biomet/86.3.677 10.1198/jasa.2009.tm08485 10.1093/biomet/asq080 10.1002/(SICI)1099-1255(199909/10)14:5<527::AID-JAE528>3.0.CO;2-X 10.1016/j.jeconom.2008.01.005 10.1214/aos/1017939139 10.1080/01621459.2000.10474229 10.1016/S1574-0048(99)01007-1 10.1111/j.1368-423X.2011.00350.x 10.1111/j.1467-9868.2012.01038.x 10.1080/07350015.2013.775093 10.1108/S0731-9053(2009)0000025006 10.1111/insr.12029 10.1007/BF00539840 10.1016/S0014-2921(01)00120-9 10.1214/12-AOS970 10.1198/016214504000001060 10.1007/978-1-4419-9076-1_2 10.1080/01621459.2000.10474280 10.1111/j.1467-9892.2004.00382.x |
| ContentType | Journal Article |
| Copyright | 2019 Elsevier Inc. |
| Copyright_xml | – notice: 2019 Elsevier Inc. |
| DBID | AAYXX CITATION |
| DOI | 10.1016/j.jmva.2019.04.005 |
| DatabaseName | CrossRef |
| DatabaseTitle | CrossRef |
| DatabaseTitleList | |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Mathematics |
| EISSN | 1095-7243 |
| EndPage | 479 |
| ExternalDocumentID | 10_1016_j_jmva_2019_04_005 S0047259X17306784 |
| GroupedDBID | --K --M --Z -~X .~1 0R~ 0SF 1B1 1RT 1~. 1~5 29L 4.4 457 4G. 5GY 5VS 6I. 7-5 71M 8P~ 9JN 9JO AAAKF AACTN AAEDT AAEDW AAFTH AAIAV AAIKJ AAKOC AALRI AAOAW AAQFI AAQXK AARIN AAXUO AAYJJ ABAOU ABEFU ABFNM ABIVO ABJNI ABMAC ABUCO ABVKL ABXDB ABYKQ ACAZW ACDAQ ACGFS ACIWK ACNCT ACRLP ADBBV ADEZE ADFGL ADMUD AEBSH AEKER AENEX AEXQZ AFKWA AFTJW AGHFR AGUBO AGYEJ AHHHB AIEXJ AIGVJ AIKHN AITUG AJBFU AJOXV ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ APLSM ARUGR ASPBG AVWKF AXJTR AZFZN BKOJK BLXMC CAG COF CS3 DM4 EBS EFBJH EFLBG EJD EO8 EO9 EP2 EP3 F5P FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HAMUX HVGLF HZ~ IHE IXB J1W KOM LG5 M25 M41 MHUIS MO0 N9A NCXOZ O-L O9- OAUVE OK1 OZT P-8 P-9 P2P PC. PQQKQ Q38 R2- RIG RNS ROL RPZ SDF SDG SDP SES SEW SPC SPCBC SSB SSD SSW SSZ T5K TN5 UHS WUQ XFK XOL XPP YHZ ZGI ZMT ZU3 ~G- AATTM AAXKI AAYWO AAYXX ABWVN ACRPL ACVFH ADCNI ADNMO ADVLN AEIPS AEUPX AFJKZ AFPUW AFXIZ AGCQF AGQPQ AGRNS AIGII AIIUN AKBMS AKRWK AKYEP ANKPU APXCP BNPGV CITATION SSH |
| ID | FETCH-LOGICAL-c300t-9a1dc9feb6368afadca08d359d15ae38c8f96f6fcdaa8ae7a4acdaa958c10b913 |
| IEDL.DBID | IXB |
| ISSN | 0047-259X |
| IngestDate | Thu Apr 24 22:52:32 EDT 2025 Tue Jul 01 01:21:48 EDT 2025 Fri Feb 23 02:18:41 EST 2024 |
| IsDoiOpenAccess | false |
| IsOpenAccess | true |
| IsPeerReviewed | true |
| IsScholarly | true |
| Keywords | 62G05 Cholesky decomposition Local linear smoothing Functional coefficients Panel data 62E20 Within-subject covariance Principal component analysis Profile least squares |
| Language | English |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c300t-9a1dc9feb6368afadca08d359d15ae38c8f96f6fcdaa8ae7a4acdaa958c10b913 |
| PageCount | 24 |
| ParticipantIDs | crossref_citationtrail_10_1016_j_jmva_2019_04_005 crossref_primary_10_1016_j_jmva_2019_04_005 elsevier_sciencedirect_doi_10_1016_j_jmva_2019_04_005 |
| ProviderPackageCode | CITATION AAYXX |
| PublicationCentury | 2000 |
| PublicationDate | September 2019 2019-09-00 |
| PublicationDateYYYYMMDD | 2019-09-01 |
| PublicationDate_xml | – month: 09 year: 2019 text: September 2019 |
| PublicationDecade | 2010 |
| PublicationTitle | Journal of multivariate analysis |
| PublicationYear | 2019 |
| Publisher | Elsevier Inc |
| Publisher_xml | – name: Elsevier Inc |
| References | Durlauf, Quah (b9) 1999 Liu, Li (b27) 2015; 160 A. Ullah, N. Roy, Nonparametric and semiparametric econometrics of panel data, in: A. Ullah, D.E.A. Giles (Eds.), Handbook of Applied Economics Statistics, Marcel Dekker, New York, pp. 579–604. Yao, Müller, Wang (b37) 2005; 100 Fan, Zhang (b13) 1999; 27 Mammen, Støve, Tjøstheim (b30) 2009; 25 Hsiao (b18) 2003 Lam, Yao (b21) 2012; 40 Lin, Carroll (b25) 2000; 95 O. Linton, E. Mammen, X. Lin, R. Carroll, Accounting for correlation in marginal longitudinal nonparametric regression, in: Second Seattle Symposium on Biostatistics, 2003. Durlauf, Johnson, Temple (b7) 2005 Fan, Gijbels (b10) 1996 Cai, Fan, Li (b2) 2000; 95 Liu, Stengos (b28) 1999; 14 Cai, Li (b3) 2008; 24 Li (b23) 2011; 98 Mack, Silverman (b29) 1982; 61 Hall, Müller, Yao (b15) 2008; 70 Boneva, Linton, Vogt (b1) 2015; 188 Fan, Huang, Li (b11) 2007; 102 Fan, Li (b12) 2004; 99 Sun, Carroll, Li (b33) 2009; 25 Park, Mammen, Lee, Lee (b31) 2015; 83 Zhang, Leng, Tang (b38) 2015; 77 Canova, Marcet (b4) 1995 Chen, Gao, Li (b5) 2013; 31 Li, Chen, Gao (b24) 2011; 14 Hjellvik, Chen, Tjøstheim (b17) 2004; 25 Henderson, Carroll, Li (b16) 2008; 144 Chen, Tsay (b6) 1993; 88 Jiang, Wang, Xia, Jiang (b20) 2013; 108 Durlauf, Kourtellos, Minkin (b8) 2001; 45 Pourahmadi (b32) 1999; 86 Jiang, Wang (b19) 2011; 39 Leng, Zhang, Pan (b22) 2010; 105 Fan, Zhang (b14) 2008; 1 Wu, Zhang (b35) 2006 Yao, Li (b36) 2013; 75 Fan (10.1016/j.jmva.2019.04.005_b11) 2007; 102 Liu (10.1016/j.jmva.2019.04.005_b28) 1999; 14 Pourahmadi (10.1016/j.jmva.2019.04.005_b32) 1999; 86 Hjellvik (10.1016/j.jmva.2019.04.005_b17) 2004; 25 Mack (10.1016/j.jmva.2019.04.005_b29) 1982; 61 10.1016/j.jmva.2019.04.005_b34 Cai (10.1016/j.jmva.2019.04.005_b3) 2008; 24 Chen (10.1016/j.jmva.2019.04.005_b6) 1993; 88 Fan (10.1016/j.jmva.2019.04.005_b10) 1996 Lin (10.1016/j.jmva.2019.04.005_b25) 2000; 95 Durlauf (10.1016/j.jmva.2019.04.005_b9) 1999 Chen (10.1016/j.jmva.2019.04.005_b5) 2013; 31 Boneva (10.1016/j.jmva.2019.04.005_b1) 2015; 188 Zhang (10.1016/j.jmva.2019.04.005_b38) 2015; 77 Leng (10.1016/j.jmva.2019.04.005_b22) 2010; 105 Jiang (10.1016/j.jmva.2019.04.005_b19) 2011; 39 Canova (10.1016/j.jmva.2019.04.005_b4) 1995 Fan (10.1016/j.jmva.2019.04.005_b13) 1999; 27 Li (10.1016/j.jmva.2019.04.005_b23) 2011; 98 10.1016/j.jmva.2019.04.005_b26 Mammen (10.1016/j.jmva.2019.04.005_b30) 2009; 25 Durlauf (10.1016/j.jmva.2019.04.005_b8) 2001; 45 Jiang (10.1016/j.jmva.2019.04.005_b20) 2013; 108 Liu (10.1016/j.jmva.2019.04.005_b27) 2015; 160 Sun (10.1016/j.jmva.2019.04.005_b33) 2009; 25 Fan (10.1016/j.jmva.2019.04.005_b14) 2008; 1 Cai (10.1016/j.jmva.2019.04.005_b2) 2000; 95 Li (10.1016/j.jmva.2019.04.005_b24) 2011; 14 Yao (10.1016/j.jmva.2019.04.005_b36) 2013; 75 Park (10.1016/j.jmva.2019.04.005_b31) 2015; 83 Wu (10.1016/j.jmva.2019.04.005_b35) 2006 Durlauf (10.1016/j.jmva.2019.04.005_b7) 2005 Fan (10.1016/j.jmva.2019.04.005_b12) 2004; 99 Yao (10.1016/j.jmva.2019.04.005_b37) 2005; 100 Hall (10.1016/j.jmva.2019.04.005_b15) 2008; 70 Henderson (10.1016/j.jmva.2019.04.005_b16) 2008; 144 Hsiao (10.1016/j.jmva.2019.04.005_b18) 2003 Lam (10.1016/j.jmva.2019.04.005_b21) 2012; 40 |
| References_xml | – volume: 27 start-page: 1491 year: 1999 end-page: 1518 ident: b13 article-title: Statistical estimation in varying coefficient models publication-title: Ann. Statist. – volume: 70 start-page: 703 year: 2008 end-page: 723 ident: b15 article-title: Modelling sparse generalized longitudinal observations with latent Gaussian processes publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. – volume: 25 start-page: 831 year: 2004 end-page: 872 ident: b17 article-title: Nonparametric estimation and testing in panels of intercorrelated time series publication-title: J. Time Series Anal. – volume: 75 start-page: 123 year: 2013 end-page: 138 ident: b36 article-title: New local estimation procedure for nonparametric regression function of longitudinal data publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. – volume: 14 start-page: 527 year: 1999 end-page: 538 ident: b28 article-title: Non-linearities in cross country growth regressions: a semiparametric approach publication-title: J. Appl. Econometrics – volume: 98 start-page: 355 year: 2011 end-page: 370 ident: b23 article-title: Efficient semiparametric regression for longitudinal data with nonparametric covariance estimation publication-title: Biometrika – volume: 24 start-page: 1321 year: 2008 end-page: 1342 ident: b3 article-title: Nonparametric estimation of varying coefficient dynamic panel data models publication-title: Econom. Theory – volume: 61 start-page: 405 year: 1982 end-page: 415 ident: b29 article-title: Weak and strong uniform consistency of kernel regression estimates publication-title: Z. Wahrscheinlichkeitstheor. Verwandte Geb. – volume: 95 start-page: 888 year: 2000 end-page: 902 ident: b2 article-title: Efficient estimation and inferences for varying-coefficient models publication-title: J. Amer. Statist. Assoc. – volume: 105 start-page: 181 year: 2010 end-page: 193 ident: b22 article-title: Semiparametric mean-covariance regression analysis for longitudinal data publication-title: J. Amer. Statist. Assoc. – volume: 100 start-page: 577 year: 2005 end-page: 590 ident: b37 article-title: Functional data analysis for sparse longitudinal data publication-title: J. Amer. Statist. Assoc. – volume: 88 start-page: 298 year: 1993 end-page: 308 ident: b6 article-title: Functional coefficient autoregressive models publication-title: J. Amer. Statist. Assoc. – volume: 39 start-page: 362 year: 2011 end-page: 388 ident: b19 article-title: Functional single-index models for longitudinal data publication-title: Ann. Statist. – volume: 14 start-page: 387 year: 2011 end-page: 408 ident: b24 article-title: Nonparametric time-varying coefficient panel data models with fixed effects publication-title: Econom. J. – reference: O. Linton, E. Mammen, X. Lin, R. Carroll, Accounting for correlation in marginal longitudinal nonparametric regression, in: Second Seattle Symposium on Biostatistics, 2003. – volume: 86 start-page: 677 year: 1999 end-page: 690 ident: b32 article-title: Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation publication-title: Biometrika – volume: 40 start-page: 694 year: 2012 end-page: 726 ident: b21 article-title: Factor modelling for high-dimensional time series: inference for the number of factors publication-title: Ann. Statist. – volume: 77 start-page: 219 year: 2015 end-page: 238 ident: b38 article-title: A joint modelling approach for longitudinal studies publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. – year: 1999 ident: b9 article-title: The new empirics of economic growth publication-title: Handbook of Macroeconomics – volume: 144 start-page: 257 year: 2008 end-page: 275 ident: b16 article-title: Nonparametric estimation and testing of fixed effects panel data models publication-title: J. Econometrics – volume: 160 start-page: 89 year: 2015 end-page: 106 ident: b27 article-title: Varying-coefficient mean-covariance regression analysis for longitudinal data publication-title: J. Statist. Plann. Inference – volume: 99 start-page: 710 year: 2004 end-page: 723 ident: b12 article-title: New estimation and model selection procedures for semiparametric modeling in longitudinal data analysis publication-title: J. Amer. Statist. Assoc. – volume: 25 start-page: 442 year: 2009 end-page: 481 ident: b30 article-title: Nonparametric additive models for panels of time series publication-title: Econom. Theory – volume: 188 start-page: 327 year: 2015 end-page: 345 ident: b1 article-title: A semiparametric model for heterogeneous panel data with fixed effects publication-title: J. Econometrics – year: 2003 ident: b18 article-title: Analysis of Panel Data – volume: 45 start-page: 928 year: 2001 end-page: 940 ident: b8 article-title: The local Solow growth model publication-title: Eur. Econ. Rev. – reference: A. Ullah, N. Roy, Nonparametric and semiparametric econometrics of panel data, in: A. Ullah, D.E.A. Giles (Eds.), Handbook of Applied Economics Statistics, Marcel Dekker, New York, pp. 579–604. – volume: 102 start-page: 632 year: 2007 end-page: 641 ident: b11 article-title: Analysis of longitudinal data with semiparametric estimation of covariance function publication-title: J. Amer. Statist. Assoc. – year: 2006 ident: b35 article-title: Nonparametric Regression Methods for Longitudinal Data Analysis: Mixed-Effects Modeling Approaches – volume: 25 start-page: 101 year: 2009 end-page: 129 ident: b33 article-title: Semiparametric estimation of fixed effects panel data varying coefficient models publication-title: Adv. Econom. – year: 2005 ident: b7 article-title: Growth econometrics publication-title: Handbook of Economic Growth, Vol. 1A – year: 1995 ident: b4 article-title: The Poor Stay Poor: Non-Convergence Across Countries and Regions – volume: 108 start-page: 228 year: 2013 end-page: 236 ident: b20 article-title: On a principal varying coefficient model publication-title: J. Amer. Statist. Assoc. – volume: 95 start-page: 520 year: 2000 end-page: 534 ident: b25 article-title: Nonparametric function estimation for clustered data when the predictor is measured without/with error publication-title: J. Amer. Statist. Assoc. – year: 1996 ident: b10 article-title: Local Polynomial Modelling and Its Applications – volume: 83 start-page: 36 year: 2015 end-page: 64 ident: b31 article-title: Varying coefficient regression models: A review and new developments publication-title: Int. Stat. Rev. – volume: 1 start-page: 179 year: 2008 end-page: 195 ident: b14 article-title: Statistical methods with varying coefficient models publication-title: Stat. Interface – volume: 31 start-page: 315 year: 2013 end-page: 330 ident: b5 article-title: Estimation in partially linear single-index panel data models with fixed effects publication-title: J. Bus. Econom. Statist. – volume: 77 start-page: 219 year: 2015 ident: 10.1016/j.jmva.2019.04.005_b38 article-title: A joint modelling approach for longitudinal studies publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. doi: 10.1111/rssb.12065 – volume: 188 start-page: 327 year: 2015 ident: 10.1016/j.jmva.2019.04.005_b1 article-title: A semiparametric model for heterogeneous panel data with fixed effects publication-title: J. Econometrics doi: 10.1016/j.jeconom.2015.03.003 – volume: 1 start-page: 179 year: 2008 ident: 10.1016/j.jmva.2019.04.005_b14 article-title: Statistical methods with varying coefficient models publication-title: Stat. Interface doi: 10.4310/SII.2008.v1.n1.a15 – volume: 25 start-page: 442 year: 2009 ident: 10.1016/j.jmva.2019.04.005_b30 article-title: Nonparametric additive models for panels of time series publication-title: Econom. Theory doi: 10.1017/S0266466608090142 – volume: 160 start-page: 89 year: 2015 ident: 10.1016/j.jmva.2019.04.005_b27 article-title: Varying-coefficient mean-covariance regression analysis for longitudinal data publication-title: J. Statist. Plann. Inference doi: 10.1016/j.jspi.2014.11.008 – volume: 70 start-page: 703 year: 2008 ident: 10.1016/j.jmva.2019.04.005_b15 article-title: Modelling sparse generalized longitudinal observations with latent Gaussian processes publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. doi: 10.1111/j.1467-9868.2008.00656.x – year: 2005 ident: 10.1016/j.jmva.2019.04.005_b7 article-title: Growth econometrics doi: 10.1016/S1574-0684(05)01008-7 – volume: 100 start-page: 577 year: 2005 ident: 10.1016/j.jmva.2019.04.005_b37 article-title: Functional data analysis for sparse longitudinal data publication-title: J. Amer. Statist. Assoc. doi: 10.1198/016214504000001745 – volume: 39 start-page: 362 year: 2011 ident: 10.1016/j.jmva.2019.04.005_b19 article-title: Functional single-index models for longitudinal data publication-title: Ann. Statist. doi: 10.1214/10-AOS845 – volume: 24 start-page: 1321 year: 2008 ident: 10.1016/j.jmva.2019.04.005_b3 article-title: Nonparametric estimation of varying coefficient dynamic panel data models publication-title: Econom. Theory doi: 10.1017/S0266466608080523 – volume: 88 start-page: 298 year: 1993 ident: 10.1016/j.jmva.2019.04.005_b6 article-title: Functional coefficient autoregressive models publication-title: J. Amer. Statist. Assoc. doi: 10.1080/01621459.1993.10594322 – volume: 108 start-page: 228 year: 2013 ident: 10.1016/j.jmva.2019.04.005_b20 article-title: On a principal varying coefficient model publication-title: J. Amer. Statist. Assoc. doi: 10.1080/01621459.2012.736904 – year: 1996 ident: 10.1016/j.jmva.2019.04.005_b10 – volume: 102 start-page: 632 year: 2007 ident: 10.1016/j.jmva.2019.04.005_b11 article-title: Analysis of longitudinal data with semiparametric estimation of covariance function publication-title: J. Amer. Statist. Assoc. doi: 10.1198/016214507000000095 – volume: 86 start-page: 677 year: 1999 ident: 10.1016/j.jmva.2019.04.005_b32 article-title: Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation publication-title: Biometrika doi: 10.1093/biomet/86.3.677 – volume: 105 start-page: 181 year: 2010 ident: 10.1016/j.jmva.2019.04.005_b22 article-title: Semiparametric mean-covariance regression analysis for longitudinal data publication-title: J. Amer. Statist. Assoc. doi: 10.1198/jasa.2009.tm08485 – volume: 98 start-page: 355 year: 2011 ident: 10.1016/j.jmva.2019.04.005_b23 article-title: Efficient semiparametric regression for longitudinal data with nonparametric covariance estimation publication-title: Biometrika doi: 10.1093/biomet/asq080 – volume: 14 start-page: 527 year: 1999 ident: 10.1016/j.jmva.2019.04.005_b28 article-title: Non-linearities in cross country growth regressions: a semiparametric approach publication-title: J. Appl. Econometrics doi: 10.1002/(SICI)1099-1255(199909/10)14:5<527::AID-JAE528>3.0.CO;2-X – volume: 144 start-page: 257 year: 2008 ident: 10.1016/j.jmva.2019.04.005_b16 article-title: Nonparametric estimation and testing of fixed effects panel data models publication-title: J. Econometrics doi: 10.1016/j.jeconom.2008.01.005 – volume: 27 start-page: 1491 year: 1999 ident: 10.1016/j.jmva.2019.04.005_b13 article-title: Statistical estimation in varying coefficient models publication-title: Ann. Statist. doi: 10.1214/aos/1017939139 – volume: 95 start-page: 520 year: 2000 ident: 10.1016/j.jmva.2019.04.005_b25 article-title: Nonparametric function estimation for clustered data when the predictor is measured without/with error publication-title: J. Amer. Statist. Assoc. doi: 10.1080/01621459.2000.10474229 – year: 1999 ident: 10.1016/j.jmva.2019.04.005_b9 article-title: The new empirics of economic growth doi: 10.1016/S1574-0048(99)01007-1 – volume: 14 start-page: 387 year: 2011 ident: 10.1016/j.jmva.2019.04.005_b24 article-title: Nonparametric time-varying coefficient panel data models with fixed effects publication-title: Econom. J. doi: 10.1111/j.1368-423X.2011.00350.x – volume: 75 start-page: 123 year: 2013 ident: 10.1016/j.jmva.2019.04.005_b36 article-title: New local estimation procedure for nonparametric regression function of longitudinal data publication-title: J. R. Stat. Soc. Ser. B Stat. Methodol. doi: 10.1111/j.1467-9868.2012.01038.x – volume: 31 start-page: 315 year: 2013 ident: 10.1016/j.jmva.2019.04.005_b5 article-title: Estimation in partially linear single-index panel data models with fixed effects publication-title: J. Bus. Econom. Statist. doi: 10.1080/07350015.2013.775093 – volume: 25 start-page: 101 year: 2009 ident: 10.1016/j.jmva.2019.04.005_b33 article-title: Semiparametric estimation of fixed effects panel data varying coefficient models publication-title: Adv. Econom. doi: 10.1108/S0731-9053(2009)0000025006 – ident: 10.1016/j.jmva.2019.04.005_b34 – volume: 83 start-page: 36 year: 2015 ident: 10.1016/j.jmva.2019.04.005_b31 article-title: Varying coefficient regression models: A review and new developments publication-title: Int. Stat. Rev. doi: 10.1111/insr.12029 – year: 2006 ident: 10.1016/j.jmva.2019.04.005_b35 – volume: 61 start-page: 405 year: 1982 ident: 10.1016/j.jmva.2019.04.005_b29 article-title: Weak and strong uniform consistency of kernel regression estimates publication-title: Z. Wahrscheinlichkeitstheor. Verwandte Geb. doi: 10.1007/BF00539840 – volume: 45 start-page: 928 year: 2001 ident: 10.1016/j.jmva.2019.04.005_b8 article-title: The local Solow growth model publication-title: Eur. Econ. Rev. doi: 10.1016/S0014-2921(01)00120-9 – year: 2003 ident: 10.1016/j.jmva.2019.04.005_b18 – volume: 40 start-page: 694 year: 2012 ident: 10.1016/j.jmva.2019.04.005_b21 article-title: Factor modelling for high-dimensional time series: inference for the number of factors publication-title: Ann. Statist. doi: 10.1214/12-AOS970 – volume: 99 start-page: 710 year: 2004 ident: 10.1016/j.jmva.2019.04.005_b12 article-title: New estimation and model selection procedures for semiparametric modeling in longitudinal data analysis publication-title: J. Amer. Statist. Assoc. doi: 10.1198/016214504000001060 – ident: 10.1016/j.jmva.2019.04.005_b26 doi: 10.1007/978-1-4419-9076-1_2 – volume: 95 start-page: 888 year: 2000 ident: 10.1016/j.jmva.2019.04.005_b2 article-title: Efficient estimation and inferences for varying-coefficient models publication-title: J. Amer. Statist. Assoc. doi: 10.1080/01621459.2000.10474280 – year: 1995 ident: 10.1016/j.jmva.2019.04.005_b4 – volume: 25 start-page: 831 year: 2004 ident: 10.1016/j.jmva.2019.04.005_b17 article-title: Nonparametric estimation and testing in panels of intercorrelated time series publication-title: J. Time Series Anal. doi: 10.1111/j.1467-9892.2004.00382.x |
| SSID | ssj0011574 |
| Score | 2.2207253 |
| Snippet | We consider estimation of a functional-coefficient panel data model. This model is useful for modeling time varying and cross-sectionally heterogeneous... |
| SourceID | crossref elsevier |
| SourceType | Enrichment Source Index Database Publisher |
| StartPage | 456 |
| SubjectTerms | Cholesky decomposition Functional coefficients Local linear smoothing Panel data Principal component analysis Profile least squares Within-subject covariance |
| Title | Estimation of a rank-reduced functional-coefficient panel data model with serial correlation |
| URI | https://dx.doi.org/10.1016/j.jmva.2019.04.005 |
| Volume | 173 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1NSwMxEA1aL3oQP_Gz5OBNYjfdZJscVVqqoieFPQjLbJKFltqKVo_-djPJblGQHrztLplleUxmhuybN4SccZCilFYz4yMkE2BTpqDLWdcoUYnUSG4Dy_chGz6J21zmK-S66YVBWmUd-2NMD9G6ftKp0ey8jkbY4yt6vnjPeQ_LXoWaoKlQoYkvv1r8SeCyVmIOigQ6rxtnIsdr_PKJ2kNcB7lTHGH3V3L6kXAGW2SzrhTpZfyYbbLipjtk434hs_q-S577foPG3kM6qyhQnMDO3lCN1VmKKSue9DEzc0EqwmcY6re_m1BkhtIwBofiUSyNnkgNDuuI9Lg98jToP14PWT0ugZk0SeZMA7dGV67M0kxBBdZAomwqteUSXKqMqnRWZZWxAApcDwTgpZbK8KTUPN0nrels6g4IdaFBF6z00c8nLP86X4oZUF1wRiWVOiS8wakwtZY4jrSYFA1pbFwgtgViWySi8NgekvOFzWtU0li6WjbwF7_8ofChfond0T_tjsk63kX22Alpzd8-3KkvN-Zlm6xefPE2Wbu8uRs-tIN3fQMytNhj |
| linkProvider | Elsevier |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1LSwMxEA4-DupBfGJ95uBNQjfdZDc5qlTqoz1Z2IMQpkkWlNqWWv39ZjbboiA9eFt2M8syTGaG7DffR8glBykG0mlmQ4ZkAlzKFLQ4a1klSpFayV2F8u1lnb54KGSxQm7nszAIq6xzf8zpVbau7zRrbzYnr6844yvy0LwXPMe2V4lVsh66gRz1G-6Lm8WvBC5rKuaKkkAX9eRMBHm9vX8h-RDXFd8patj9VZ1-VJy7HbJdt4r0On7NLlnxoz2y1V3wrH7sk5d22KFx-JCOSwoUJdjZFOlYvaNYs-JRH7NjX3FFhBJDw_73Q4rQUFrp4FA8i6UxFKlFtY6Ijzsg_bv2822H1XoJzKZJMmMauLO69IMszRSU4CwkyqVSOy7Bp8qqUmdlVloHoMDnIAAvtVSWJwPN00OyNhqP_BGhvprQBSdD-gsVK7wu9GIWVAu8VUmpGoTP_WRsTSaOmhZDM0eNvRn0rUHfmkSY4NsGuVrYTCKVxtLVcu5-8ysgTMj1S-yO_2l3QTY6z90n83Tfezwhm_gkQslOydps-unPQu8xG5xXsfUNOPbY9g |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Estimation+of+a+rank-reduced+functional-coefficient+panel+data+model+with+serial+correlation&rft.jtitle=Journal+of+multivariate+analysis&rft.au=Chen%2C+Jia&rft.au=Li%2C+Degui&rft.au=Xia%2C+Yingcun&rft.date=2019-09-01&rft.issn=0047-259X&rft.volume=173&rft.spage=456&rft.epage=479&rft_id=info:doi/10.1016%2Fj.jmva.2019.04.005&rft.externalDBID=n%2Fa&rft.externalDocID=10_1016_j_jmva_2019_04_005 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0047-259X&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0047-259X&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0047-259X&client=summon |