Abstract
Varying coefficient models offer a compromise between fully nonparametric and parametric models by allowing for the desired flexibility of the response coefficients of standard regression models to uncover hidden structures in the data without running into the serious curse of the dimensionality issue.
This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume
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Kourtellos, A., Stengos, T. (2008). Varying Coefficient Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2501-1
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2501-1
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