More efficient kernel estimation in nonparametric regression with autocorrelated errors
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- Raymond J Carroll & Oliver Linton & Enno Mammen & Zhijie Xiao, 2002. "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," STICERD - Econometrics Paper Series 435, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Zhijie Xiao & Oliver Linton & Raymond J. Carroll & E. Mammen, 2002. "More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors," Cowles Foundation Discussion Papers 1375, Cowles Foundation for Research in Economics, Yale University.
References listed on IDEAS
- Fan, J. & Härdle, Wolfgang & Mammen, Enno, 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.
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"Applied nonparametric methods,"
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- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
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- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
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- Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
More about this item
KeywordsBackfitting; efficiency; kernel estimation; time series;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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