Efficient estimation of partially linear varying coefficient models

Wei Long (), Min Ouyang () and Ying Shang

Economics Letters, 2013, vol. 121, issue 1, 79-81

Abstract: In this paper, we consider the problem of estimating a semiparametric partially linear varying coefficient model. We derive the semiparametric efficiency bound for the asymptotic variance of the finite-dimensional parameter estimator. We also propose an efficient estimator for estimating the finite-dimensional parameter of the model. Simulation results show substantial efficiency gain of our proposed estimator over a conventional estimator as considered in Ahmad et al. (2005).

Keywords: Partially linear; Varying coefficient; Semiparametric method; Efficient estimation; Simulation (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:1:p:79-81

DOI: 10.1016/j.econlet.2013.07.010

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