MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS

DOI10.1017/S026646660606004XzbMATH Open1083.62037MaRDI QIDQ3377437FDOQ3377437

Authors: Liangjun Su, Aman Ullah 

Publication date: 22 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

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Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Pseudo Maximum Likelihood Methods: Theory
• SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS
• Root-N-Consistent Semiparametric Regression
• Testing additivity in generalized nonparametric regression models with estimated parameters
• Consistent Testing for Serial Correlation of Unknown Form
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Miscellanea. Efficient estimation of additive nonparametric regression models
• Estimation of additive regression models with known links
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Local nonlinear least squares: using parametric information in nonparametric regression
• Multivariate regression estimation: Local polynomial fitting for time series
• EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
• Semiparametric Non-Linear Time Series Model Selection
• Local polynomial regression: Optimal kernels and asymptotic minimax efficiency

Cited In (21)

• Simultaneous confidence bands for time-series prediction function
• Improved local polynomial estimation in time series regression
• Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics
• Nonparametric dynamic panel data models: kernel estimation and specification testing
• Spline estimation of partially linear regression models for time series with correlated errors
• Local polynomial estimation in partial linear regression models under dependence
• Nonparametric transformation to white noise
• Local polynomial estimation of nonparametric simultaneous equations models
• Estimation of semivarying coefficient time series models with ARMA errors
• On the semi-varying coefficient dynamic panel data model with autocorrelated errors
• Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
• Finite sample properties of tests based on prewhitened nonparametric covariance estimators
• Nonparametric transfer function models
• Prediction for spatio-temporal models with autoregression in errors
• Identification and nonparametric estimation of a transformed additively separable model
• Short‐term forecasting with a computationally efficient nonparametric transfer function model
• Bayesian time series regression with nonparametric modeling of autocorrelation
• Efficient estimation of varying coefficient models with serially correlated errors
• Nonparametric regression estimation with general parametric error covariance
• Efficient estimation for semi-varying coefficient model with an invertible linear process error
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors

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