More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
We define a three-step procedure for more efficient estimation of the nonparametric regression mean with nonparametric autocorrelated errors. The procedure is based upon a nonparametric prewhitening transformation of the dependent variable that has to be estimated from the data by a local polynomial...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2006
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1998 https://ink.library.smu.edu.sg/context/soe_research/article/2997/viewcontent/More_efficient_estimation_in_nonparametric_regression_2006_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |