Efficient estimation for the heteroscedastic single-index varying coefficient models

Peng Lai, Qingzhao Zhang, Heng Lian and Qihua Wang

Statistics & Probability Letters, 2016, vol. 110, issue C, 84-93

Abstract: We propose a semiparametric estimator for the heteroscedastic single-index varying coefficient model. The estimator is proved to attain the semiparametric efficiency bound. Some simulation studies and a real data application are conducted to evaluate the proposed methods.

Keywords: Single-index varying coefficient model; Efficiency; Semiparametric efficiency bound; Estimating equation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.12.005

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