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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Bibliographic Details
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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Institution: Singapore Management University
Language: English

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