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: SU, Liangjun, ULLAH, Aman
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2006
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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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spelling sg-smu-ink.soe_research-29972018-08-31T05:36:23Z More efficient estimation in nonparametric regression with nonparametric autocorrelated errors SU, Liangjun ULLAH, Aman 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 technique. We establish the asymptotic distribution of our estimator under weak dependence conditions and show that it is more efficient than the conventional local polynomial estimator. Furthermore, we consider criterion functions based on the linear exponential family, which include the local polynomial least squares criterion as a special case. Simulation evidence suggests that significant gains can be achieved in finite samples with our approach.The authors thank Oliver Linton for his many constructive and helpful suggestions. The very insightful comments from the referees are also gratefully acknowledged. The second author gratefully acknowledges financial support from the Academic Senate, UCR. 2006-02-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1998 info:doi/10.1017/S026646660606004X https://ink.library.smu.edu.sg/context/soe_research/article/2997/viewcontent/More_efficient_estimation_in_nonparametric_regression_2006_afv.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics Economic Theory
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometrics
Economic Theory
spellingShingle Econometrics
Economic Theory
SU, Liangjun
ULLAH, Aman
More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
description 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 technique. We establish the asymptotic distribution of our estimator under weak dependence conditions and show that it is more efficient than the conventional local polynomial estimator. Furthermore, we consider criterion functions based on the linear exponential family, which include the local polynomial least squares criterion as a special case. Simulation evidence suggests that significant gains can be achieved in finite samples with our approach.The authors thank Oliver Linton for his many constructive and helpful suggestions. The very insightful comments from the referees are also gratefully acknowledged. The second author gratefully acknowledges financial support from the Academic Senate, UCR.
format text
author SU, Liangjun
ULLAH, Aman
author_facet SU, Liangjun
ULLAH, Aman
author_sort SU, Liangjun
title More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
title_short More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
title_full More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
title_fullStr More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
title_full_unstemmed More efficient estimation in nonparametric regression with nonparametric autocorrelated errors
title_sort more efficient estimation in nonparametric regression with nonparametric autocorrelated errors
publisher Institutional Knowledge at Singapore Management University
publishDate 2006
url 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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