Efficient estimation of the error distribution in a varying coefficient regression model

Abstract

It is shown that the weighted residual-based estimator of Schick, Zhu, and Du (2017) is efficient in some special cases and can be made to be efficient by adding a stochastic correction term. The efficiency is shown by deriving the efficient influence function and establishing a uniform stochastic expansion with this influence function. The correction term relies on estimators of the score function for the errors and other characteristics of the model.