You, Jinhong; Chen, Gemai; Zhou, Yong - In: Journal of Multivariate Analysis 98 (2007) 8, pp. 1539-1557
The authors study a heteroscedastic partially linear regression model and develop an inferential procedure for it. This includes a test of heteroscedasticity, a two-step estimator of the heteroscedastic variance function, semiparametric generalized least-squares estimators of the parametric and...