Statistical estimation in varying coefficient models

Abstract

Varying-coefficient models are a useful extension of the classical linear models. The appeal ofthese models is that the coefficient functions can easily be estimated via a simple local regression.This yields a simple one-step estimation procedure. We show that such a one-step method cannot be optimal when different coefficient functions admit different degrees of smoothness. Thisdrawback can be repaired by using our proposed two-step estimation procedure. The asymptoticmean-squared errors...