In the fitting methods of both the ordinary nonparametric regression models and the varying coefficient regression models, the error term of the models is usually assumed to be homoscedastic.
So, in fact, you talked about nonparametric econometrics, and another strange experience I had was in my second year of grad school, a professor named Whitney Newey taught nonparametric econometrics.
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的经历是在我读研究生的第二年，一位名叫 Whitney Newey 的教授教授
