Efficient estimation of partially linear varying coefficient models |
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| Authors: | Wei Long Min Ouyang Ying Shang |
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| Affiliation: | 1. Department of Economics, Texas A&M University, USA;2. Department of Economics, Tsinghua SEM, Beijing, PR China;3. International School of Economics & Management, Capital University of Economics & Business, Beijing, PR China |
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| Abstract: | In this paper, we consider the problem of estimating a semiparametric partially linear varying coefficient model. We derive the semiparametric efficiency bound for the asymptotic variance of the finite-dimensional parameter estimator. We also propose an efficient estimator for estimating the finite-dimensional parameter of the model. Simulation results show substantial efficiency gain of our proposed estimator over a conventional estimator as considered in Ahmad et al. (2005). |
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| Keywords: | C14 |
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