Efficient Estimation in Heteroscedastic Partially Linear Varying Coefficient Models |
| |
Authors: | Chuan-Hua Wei Li-Jie Wan |
| |
Institution: | 1. Department of Statistics, Minzu University of China, Beijing, 100081, China;2. Department of Statistics, University of Kentucky, Lexington, KY 40508, USA |
| |
Abstract: | This article considers statistical inference for the heteroscedastic partially linear varying coefficient models. We construct an efficient estimator for the parametric component by applying the weighted profile least-squares approach, and show that it is semiparametrically efficient in the sense that the inverse of the asymptotic variance of the estimator reaches the semiparametric efficiency bound. Simulation studies are conducted to illustrate the performance of the proposed method. |
| |
Keywords: | Heteroscedasticity Partially linear varying coefficient models Profile least squares Semiparametric efficiency |
|
|