More efficient local polynomial estimation in nonparametric regression with autocorrelated errors
We propose a modification of local polynomial time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent variable that must be estimated from the data. We establish the asymptotic...
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| Hauptverfasser: | , , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
Dec 2003
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| In: |
Journal of the American Statistical Association
Year: 2003, Jahrgang: 98, Heft: 464, Pages: 980-992 |
| ISSN: | 1537-274X |
| Online-Zugang: | Verlag, Volltext: http://www.jstor.org/stable/30045344 Verlag, Volltext: http://www.jstor.org/stable/pdf/30045344.pdf?refreqid=excelsior:79050497e35fe71e5daeb922943c729f 
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| Verfasserangaben: | Zhijie Xiao, Oliver B. Linton, Raymond J. Carroll, Enno Mammen |