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The proposed estimator is exceedingly flexible and has a wide range of potential applications including hierarchical (mixed) settings, small area estimation, etc. A data-driven cross-validatory bandwidth selection method is proposed that can handle both the qualitative and quantitative covariates and that can also handle the presence of potentially irrelevant covariates, each of which can result in finite-sample efficiency gains relative to the conventional frequency (sample-splitting) estimator that is often found in such settings. Theoretical underpinnings including rates of convergence and asymptotic normality are provided. Monte Carlo simulations are undertaken to assess the proposed estimator\u2019s finite-sample performance relative to the conventional semiparametric frequency estimator and to assess the finite-sample performance of the proposed test for correct parametric specification.<\/jats:p>","DOI":"10.1017\/s0266466609990739","type":"journal-article","created":{"date-parts":[[2010,3,17]],"date-time":"2010-03-17T10:19:34Z","timestamp":1268821174000},"page":"1607-1637","source":"Crossref","is-referenced-by-count":77,"title":["SMOOTH VARYING-COEFFICIENT ESTIMATION AND INFERENCE FOR QUALITATIVE AND QUANTITATIVE DATA"],"prefix":"10.1017","volume":"26","author":[{"given":"Qi","family":"Li","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jeffrey S.","family":"Racine","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2010,3,17]]},"reference":[{"key":"S0266466609990739_ref26","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466605050504"},{"key":"S0266466609990739_ref29","doi-asserted-by":"publisher","DOI":"10.2307\/2532783"},{"key":"S0266466609990739_ref2","volume-title":"Normal Approximations and Asymptotic Expansions","author":"Bhattacharya","year":"1986"},{"key":"S0266466609990739_ref22","unstructured":"Journal of Multivariate Analysis (2004) Vol. 91. 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