Publication: Smooth Varying-Coefficient Nonparametric Models for Qualitative and Quantitative Data

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Title	Smooth Varying-Coefficient Nonparametric Models for Qualitative and Quantitative Data
Authors/Editors*	Qi Li, Jeffrey S. Racine
Where published*	Working Paper
How published*	Journal
Year*	2007
Volume	-1
Number	-1
Pages
Publisher
Keywords
Link
Abstract	We propose a varying coefficient method that admits both qualitative and quantitative data. The proposed estimator has a range of potential uses including hierarchical (mixed) settings, small area estimation, and the like. The estimator is exceedingly flexible. It offers users a semiparametric method wherein the user can select a parametric functional form for their model but allow parameters to change in an unrestricted fashion with respect to group membership. However, it also offers users a fully nonparametric method. Theoretical underpinnings including rates of convergence and asymptotic normality are provided. Monte Carlo simulations are undertaken to assess the method's finite-sample performance relative to popular parametric mixed model methods that are commonly applied in this setting, while an empirical application to a seminal dataset is undertaken for illustrative purposes.