Efficient Estimation in Heteroscedastic Varying Coefficient Models

Chuanhua Wei and Lijie Wan
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Chuanhua Wei: Department of Statistics, Minzu University of China, Beijing 100081 , China
Lijie Wan: Department of Statistics, University of Kentucky, Lexington, KY 40508, USA

Econometrics, 2015, vol. 3, issue 3, 1-7

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.

Keywords: heteroscedasticity; local linear; varying coefficient models (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
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