Gao, Qi; Gu, Jingping; Hernandez-Verme, Paula - In: Annals of Economics and Finance 13 (2012) 1, pp. 189-210
In this paper, we propose a new semiparametric varying coefficient model which extends the existing semi-parametric varying coefficient models to allow for a time trend regressor with smooth coefficient function. We propose to use the local linear method to estimate the coefficient functions and...