Efficient estimation of a semiparametric partially linear varying coefficient model
半参数部分线性变系数模型的有效估计
In this paper we propose a general series method to estimate a semiparametric partially linear varying coefficient model. We establish the consistency and $\sqrt{n}$-normality property of the estimator of the finite-dimensional parameters of the model. We further show that, when the error is conditionally homoskedastic, this estimator is semiparametrically efficient in the sense that the inverse of the asymptotic variance of the estimator of the finite-dimensional parameter…