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

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.