Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator

• Main Authors: SU, Liangjun, ULLAH, Aman, WANG, Yun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: Covariance matrix; Local linear estimation; Productivity; Relative efficiency; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1421; https://ink.library.smu.edu.sg/context/soe_research/article/2420/viewcontent/NonparametricRegressionEfficientTwoStepEst_2013.pdf
• Institution: Singapore Management University

Recently Martins-Filho and Yao (J Multivar Anal 100:309–333, 2009) have proposed a two-step estimator of nonparametric regression function with parametric error covariance and demonstrate that it is more efficient than the usual LLE. In the present paper we demonstrate that MY’s estimator can be fur...