Semiparametric Estimation of Partially Linear Varying Coefficient Models with Time Trend and Nonstationary Regressors

This paper extends the partially linear varying coefficient model to contain time trend and nonstationary variables as regressors. We use the profile likelihood method to estimate both time trend coefficient in the linear component and the functional coefficients in the nonlinear component and establish their asymptotic distributions. Monte Carlo simulations are shown to investigate the finite sample performance of the proposed estimators.