Wavelet estimation in varying-coefficient partially linear regression models
This paper is concerned with the estimation of a varying-coefficient partially linear regression model that is frequently used in statistical modeling. We first construct estimators of the parametric components and the error variance by a wavelet procedure and establish their asymptotic normalities under weaker conditions than those assumed in the previous literature. Then we propose appropriate estimators for the functions characterizing the nonlinear part of the model and derive their convergence rates. Furthermore, we present consistent estimators for the asymptotic (co)variances of the parametric components and error variance estimators as well. These results can be used to make asymptotically valid statistical inference.
Volume (Year): 68 (2004)
Issue (Month): 1 (June)
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References listed on IDEAS
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- Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-54, July.
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