Efficient estimation in heteroscedastic varying coefficient models

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. - Basel : MDPI, ISSN 2225-1146. - Vol. 3.2015, 3, p. 525-531
Publisher:	Basel : MDPI
Subject:	heteroscedasticity \| local linear \| varying coefficient models

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics3030525 [DOI] 831932236 [GVK] hdl:10419/171837 [Handle]
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10011755291