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Varying-coefficient model Y=∑j=1pβj(U)Xj+ɛ has been studied extensively when data are completely observed. When the covariates X are missing at random, we propose a locally weighted estimator based on the inverse selection probabilities. Distribution theory of β^(·) is derived when the selection probabilities are known, estimated parametrically or nonparametrically. We show that the resulting nonparametric...