IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v43y2014i18p3927-3942.html
   My bibliography  Save this article

Semi-parametric Efficient Inference for Heteroscedastic Semivarying-coefficient Models

Author

Listed:
  • Xuemei Hu

Abstract

Semivarying-coefficient models with heteroscedastic errors are frequently used in statistical modeling. When the error is conditional heteroskedastic, Ahmad, et al. (2005) proposed a general series method to obtain an efficient estimation. In this article we study the heteroscedastic semi-varying coefficient models with a nonparametric variance function, not only use the semi-parametric efficient normal approximation method to derive a family of semi-parametric efficient estimator, but also use the semi-parametric efficient empirical likelihood method to construct the efficient empirical likelihood confidence regions. The proposed estimators retain the double robustness feature of semi-parametric efficient estimator.

Suggested Citation

  • Xuemei Hu, 2014. "Semi-parametric Efficient Inference for Heteroscedastic Semivarying-coefficient Models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(18), pages 3927-3942, September.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:18:p:3927-3942
    DOI: 10.1080/03610926.2013.837185
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2013.837185
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2013.837185?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hu, Xuemei, 2017. "Semi-parametric inference for semi-varying coefficient panel data model with individual effects," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 262-281.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:43:y:2014:i:18:p:3927-3942. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.