MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

We propose a modification of kernel 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 has to be estimated from the data. We establish the asymptotic distribution of our estimator under weak dependence conditions. It is shown that the proposed estimation...

Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

More Ef cient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors

We propose a modiŽ cation of local polynomial time series regression estimators that improves efŽ ciency 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 distribution of our estimator under weak dependence conditions. We show that the proposed estima...

Estimation in Nonparametric Regression with Nonregular Errors

For sufficiently nonregular distributions with bounded support, the extreme observations converge to the boundary points at a faster rate than the square root of the sample size. In a nonparametric regression model with such a nonregular error distribution, this fact can be used to construct an estimator for the regression function that converges at a faster rate than the Nadaraya– Watson estim...

Nonparametric Regression with Correlated Errors

Nonparametric regression techniques are often sensitive to the presence of correlation in the errors. The practical consequences of this sensitivity are explained, including the breakdown of several popular data-driven smoothing parameter selection methods. We review the existing literature in kernel regression, smoothing splines and wavelet regression under correlation, both for short-range an...