ADAPTIVE SEMI-VARYING COEFFICIENT MODEL SELECTION

作者：Hu, Tao^*; Xia, Yingcun

来源：Statistica Sinica, 2012, 22(2): 575-599.

DOI：10.5705/ss.2010.105

• BIC
• kernel smoothing
• LASSO
• model selection
• oracle property
• SCAD
• semi-varying coefficient model

Identification of constant coefficients in a semi-varying coefficient model is an important issue (Zhang et al (2002)). We propose a novel method for this by combining local polynomial smoothing (Fan and Zhang (1999)) with shrinkage estimation (Tibshirani (1996)). Unlike the stepwise procedure (Xia, Zhang, and Tong (2004)), our method can identify the constant coefficients and estimate the model simultaneously. By imposing the adaptive LASSO penalty and starting with the Nadaraya-Watson estimator, the method can identify the constant coefficients and varying coefficients consistently, and estimate the model with oracle efficiency (Fan and Li (2001)).

• 出版日期2012-4
• 单位贵州财经大学; 首都师范大学