Two step estimationon generalized semi-varying coefficient models

The generalized semi-varying coefficient models are studied in this paper. Local quasi-likelihood method and average method are employed to produce the estimators of the constant coefficients in the parametric component, After replacing the coefficients in the parametric component by the obtained estimators, the function coefficients in nonparametric part are estimated via quasi-likelihood method and backfitting technical. The asymptotic normalities of the estimations on parametric component and nonparametric component are investigated. Two simulated examples show that this estimation method is effective.