Chen, Jia orcid.org/0000-0002-2791-2486, Li, Degui orcid.org/0000-0001-6802-308X, Wei, Lingling et al. (1 more author) (2021) Nonparametric Homogeneity Pursuit in Functional-Coefficient Models. Journal of Nonparametric Statistics. pp. 387-416. ISSN 1048-5252
Abstract
This paper explores homogeneity of coefficient functions in nonlinear models with functional coefficients and identifies the underlying semiparametric modelling structure. With initial kernel estimates, we combine the classic hierarchical clustering method with a generalised version of the information criterion to estimate the number of clusters, each of which has a common functional coefficient, and determine the membership of each cluster. To identify a possible semi-varying coefficient modelling framework, we further introduce a penalised local least squares method to determine zero coefficients, non-zero constant coefficients and functional coefficients which vary with an index variable. Through the nonparametric kernel-based cluster analysis and the penalised approach, we can substantially reduce the number of unknown parametric and nonparametric components in the models, thereby achieving the aim of dimension reduction. Under some regularity conditions, we establish the asymptotic properties for the proposed methods including the consistency of the homogeneity pursuit. Numerical studies, including Monte-Carlo experiments and two empirical applications, are given to demonstrate the finite-sample performance of our methods.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) The University of York > Faculty of Sciences (York) > Mathematics (York) |
Funding Information: | Funder Grant number ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/T01573X/1 ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/T01573X/1 |
Depositing User: | Pure (York) |
Date Deposited: | 29 Jun 2021 10:50 |
Last Modified: | 26 Nov 2024 00:50 |
Published Version: | https://doi.org/10.1080/10485252.2021.1951265 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1080/10485252.2021.1951265 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:175712 |