Efficient Model Selection in Semivarying Coefficient Models

Varying coefficient models are useful extensions of classical linear models. In practice, some of the varying coefficients may be just constant, while other coefficients are varying. Several methods have been developed to utilize the information that some coefficient functions are constant to improve estimation efficiency. However, in order for such methods to really work, the information about which coefficient functions are constant should be given in advance. In this paper, we propose a computationally efficient method to discriminate in a consistent way the constant coefficient functions from the varying ones. Additionally, we compare the performance of our proposal with that of previous methods developed for the same purpose in terms of model selection accuracy and computing time