Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/171837 
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2015 [Pages:] 525-531
Publisher: 
MDPI, Basel
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.
Subjects: 
heteroscedasticity
local linear
varying coefficient models
JEL: 
C13
C14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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