Efficient estimation of the error distribution in a varying coefficient regression model
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DOI: 10.3103/s1066530717030024
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… read more here.
Keywords: distribution varying; estimation error; efficient estimation; varying coefficient ... See more keywords