Qiu, Jia; Li, Degao; You, Jinhong - In: Journal of Multivariate Analysis 137 (2015) C, pp. 100-118
Varying-coefficient models are useful extension of classical linear models. This paper is concerned with the statistical inference of varying-coefficient regression models with autoregressive errors. By combining the estimated residuals, the smoothly clipped absolute deviation (SCAD) penalty and...