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Title: Efficient estimation in heteroscedastic partially linear varying coefficient models
Authors: Wei, CH
Wan, LJ
Liu, CL 
Keywords: Heteroscedasticity
Partially linear varying coefficient models
Profile least squares
Semiparametric efficiency
Issue Date: 2014
Publisher: Taylor & Francis
Source: Communications in statistics. Simulation and computation, 2014, v. 44, no. 4, p. 892-901 How to cite?
Journal: Communications in statistics. Simulation and computation 
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.
ISSN: 0361-0918 (print)
1532-4141 (online)
DOI: 10.1080/03610918.2013.795593
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