Profile likelihood inferences on semiparametric varying-coefficient partially linear models

Varying-coefficient partially linear models are frequently used in statistical modelling, but their estimation and inference have not been systematically studied. This paper proposes a profile least-squares technique for estimating the parametric component and studies the asymptotic normality of the profile least-squares estimator. The main focus is the examination of whether the generalized likelihood technique developed by Fan et al. is...