Efficient Estimation in Heteroscedastic Varying Coefficient Models

被引：0

作者：

Wei, Chuanhua ^{[1
]}

Wan, Lijie ^{[2
]}

机构：

[1] Minzu Univ China, Dept Stat, Beijing 100081, Peoples R China

[2] Univ Kentucky, Dept Stat, Lexington, KY 40508 USA

来源：

ECONOMETRICS | 2015年 / 3卷 / 03期

基金：

中国国家自然科学基金;

关键词：

heteroscedasticity; local linear; varying coefficient models;

D O I：

10.3390/econometrics3030525

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：525 / 531

页数：7

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