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More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

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Author Info

  • Zhijie Xiao

    (Univ. Illinois, Urbana-Champaign)

  • Oliver Linton

    (LSE)

  • Raymond J. Carroll

    (Texas A&M Univ.)

  • E. Mammen

    (Universitat Heidelberg)

Abstract

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 procedure is more efficient than the conventional kernel method. We also provide simulation evidence to suggest that gains can be achieved in moderate sized samples.

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Bibliographic Info

Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 1375.

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Length: 49 pages
Date of creation: Jun 2002
Date of revision:
Publication status: Published in Journal of Econometrics (February 2010), 154(2): 186-202
Handle: RePEc:cwl:cwldpp:1375

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Phone: (203) 432-3702
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Keywords: Time series regression; Nonparametric regression; Kernel; Efficiency;

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  1. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
  2. J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  4. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
  5. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-77.
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Cited by:
  1. Dabo-Niang, Sophie & Francq, Christian & Zakoian, Jean-Michel, 2009. "Combining parametric and nonparametric approaches for more efficient time series prediction," MPRA Paper 16893, University Library of Munich, Germany.

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