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Efficient Estimation in Heteroscedastic Varying Coefficient Models

Author

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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)

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.

Suggested Citation

  • Chuanhua Wei & Lijie Wan, 2015. "Efficient Estimation in Heteroscedastic Varying Coefficient Models," Econometrics, MDPI, vol. 3(3), pages 1-7, July.
    • Handle: RePEc:gam:jecnmx:v:3:y:2015:i:3:p:525-531:d:52630
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    References listed on IDEAS

    as
    1. Ruppert, D. & Wand, M.P. & Holst, U. & Hossjer, O., "undated". "Local Polynomial Variance Function Estimation," Statistics Working Paper _007, Australian Graduate School of Management.
    2. Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
    3. Cai, Zongwu & Li, Qi, 2008. "Nonparametric Estimation Of Varying Coefficient Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1321-1342, October.
    4. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
    5. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    6. Xiao, Zhijie, 2009. "Functional-coefficient cointegration models," Journal of Econometrics, Elsevier, vol. 152(2), pages 81-92, October.
    7. Van Keilegom, Ingrid & Wang, Lan, 2010. "Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data," LIDAM Reprints ISBA 2010001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Li, Qi, et al, 2002. "Semiparametric Smooth Coefficient Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 412-422, July.
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