Parametric Estimation for Semi-varying Coefficient Model via Penalized Spline

Abstract

A semi-varying coefficient model, a type of semi-parametric model between the linear model and the varying coefficient model offers a good flexibility and has become an important tool for exploring the dynamic patterns in many areas of research, including economics, finance and biomedical research.This paper proposes a new estimation method for semi-varying coefficient models based on the roughness penalized spline approach.Asymptotic properties of their estimators are also obtained.The penalized spline estimation method is applied to an economic example using a semi-varying coefficient model.