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Z. Cai, "Trending Time-Varying Coefficient Time Series Models with Serially Correlated Errors," Journal of Econometrics, Vol. 136, No. 1, 2007, pp. 163-188.

has been cited by the following article:

• TITLE: Generalized Likelihood Ratio Tests for Varying-Coefficient Models with Censored Data

  AUTHORS: Rong Jiang, Wei-Min Qian

  KEYWORDS: Varying Coefficient Model, Generalized Likelihood Ratio Test, Local Linear Method, Wilks Phenomenon, Censoring

  JOURNAL NAME: Open Journal of Statistics, Vol.1 No.1, April 21, 2011

  ABSTRACT: In this paper, we extend the generalized likelihood ratio test to the varying-coefficient models with censored data. We investigate the asymptotic behavior of the proposed test and demonstrate that its limiting null distribution follows a distribution, with the scale constant and the number of degree of freedom being independent of nuisance parameters or functions, which is called the wilks phenomenon. Both simulated and real data examples are given to illustrate the performance of the testing approach.