Abstract
In this study, a semi-varying coefficient error-in-variable model with surrogate data and validation sample is proposed. Without specifying any error structure, we firstly use the local linear kernel smoothing technique to define the estimators and the proposed estimators are proved to be asymptotically normal. Then, we conduct generalized likelihood ratio (GLR) test on varying coefficient function. The data–driven bandwidth selection method is discussed. Finally, simulated studies are conducted to illustrate the finite sample properties of the proposed estimators and efficiency of the GLR methodology.
Acknowledgments
The authors thank the Editor, an Associate Editor and two referees for their constructive comments, which led to significant improvements of the paper.