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In this paper, we consider the estimation problem of quantile varying-coefficient models when the link function is unspecified, which significantly expands the existing works on varying-coefficient models with unspecified link function focusing only on mean regression. We provide new identification conditions which are weaker than existing ones. Under these identification conditions, we use polynomial splines to estimate both the varying coefficients and the link functions and establish the convergence rate of the estimator. Our simulation studies and a real data application illustrate the finite sample performance of the estimators.
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TEST
ISSN: 1133-0686
Year: 2019
Issue: 4
Volume: 28
Page: 1251-1275
1 . 3 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:54
Cited Count:
WoS CC Cited Count: 5
SCOPUS Cited Count: 6
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 2
Affiliated Colleges: