On two-step estimation for varying coefficient models

초록

In this note we discuss two-step kernel estimation of varying coefficient regression models that have a common smoothing variable. The method allows one to use different bandwidths for different coefficient functions. We consider local polynomial fitting and present explicit formulas for the asymptotic biases and variances of the estimators. (C) 2013 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

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