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Efficient Estimation for Semi-varying Coefficient Model with An Invertible Linear Process Error

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  • Xuemei Hu

Abstract

For semi-varying-coefficient model with an invertible linear process error, we propose an efficient estimator procedure. This procedure is based on a pre-whitening transformation of the dependent variable that must be estimated from the data. We establish the proposed estimations’ asymptotic normalities, and assess their finite sample performance. Monte Carlo simulation suggest that the efficiency gain can be achieved in moderate-sized samples.

Suggested Citation

  • Xuemei Hu, 2014. "Efficient Estimation for Semi-varying Coefficient Model with An Invertible Linear Process Error," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(15), pages 3117-3134, August.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:15:p:3117-3134
    DOI: 10.1080/03610926.2012.738842
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