On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing
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- Alessandra Luati & Tommaso Proietti, 2011. "On the equivalence of the weighted least squares and the generalised least squares estimators, with applications to kernel smoothing," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 851-871, August.
References listed on IDEAS
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More about this item
KeywordsLocal polynomial regression; Epanechnikov Kernel; Non-invertible Moving average processes;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-07 (All new papers)
- NEP-ECM-2008-06-07 (Econometrics)
- NEP-ETS-2008-06-07 (Econometric Time Series)
- NEP-ORE-2008-06-07 (Operations Research)
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