PARAMETRIC CONDITIONAL MEAN INFERENCE WITH FUNCTIONAL DATA APPLIED TO LIFETIME INCOME CURVES

• 成果类型: Article
• 署名作者: Cho, Jin Seo; Phillips, Peter C. B.; Seo, Juwon
• 署名单位: Beijing Institute of Technology; Yonsei University; Yale University; University of Auckland; University of Southampton; Singapore Management University; National University of Singapore
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12548
• 发表日期: 2022
• 页码: 391-456
• 关键词: likelihood ratio test; cointegrated linear-processes; nuisance parameter; mixture-models; dividend behavior; power transforms; homogeneity; regression; earnings; CONVERGENCE

摘要

We propose a framework for estimation of the conditional mean function in a parametric model with function space covariates. The approach employs a functional mean squared error objective criterion. Under regularity conditions, consistency and asymptotic normality are established. The analysis extends to situations where the asymptotic properties are influenced by estimation errors arising from the presence of nuisance parameters. Wald, Lagrange multiplier, and quasi-likelihood ratio statistics are studied. An empirical application conducts lifetime income path comparisons across different demographic groups according to years of work experience.