Efficient estimation in heteroscedastic varying coefficient models

Chuanhua Wei and Lijie Wan

This paper considers statistical inference for the heteroscedastic varying coefficient model. We propose an efficient estimator for coefficient functions that is more efficient than the conventional local-linear estimator. We establish asymptotic normality for the proposed estimator and conduct some simulation to illustrate the performance of the proposed method.

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Year of publication:	2015
Authors:	Wei, Chuanhua ; Wan, Lijie
Published in:	Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 3.2015, 3, p. 525-531
Subject:	heteroscedasticity \| local linear \| varying coefficient models \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Heteroskedastizität \| Heteroscedasticity