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Econometrics 2015, 3(3), 525-531; doi:10.3390/econometrics3030525

Efficient Estimation in Heteroscedastic Varying Coefficient Models

1
Department of Statistics, Minzu University of China, Beijing 100081 , China
2
Department of Statistics, University of Kentucky, Lexington, KY 40508, USA
*
Author to whom correspondence should be addressed.
Academic Editor: Kerry Patterson
Received: 16 January 2015 / Revised: 24 May 2015 / Accepted: 2 July 2015 / Published: 15 July 2015
View Full-Text   |   Download PDF [238 KB, uploaded 15 July 2015]

Abstract

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. View Full-Text
Keywords: heteroscedasticity; local linear; varying coefficient models heteroscedasticity; local linear; varying coefficient models
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Wei, C.; Wan, L. Efficient Estimation in Heteroscedastic Varying Coefficient Models. Econometrics 2015, 3, 525-531.

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