Efficient Estimation in Heteroscedastic Varying Coefficient Models

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.

Keywords

• heteroscedasticity
• local linear
• varying coefficient models