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MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS

Published online by Cambridge University Press:  12 December 2005

Liangjun Su  and
Aman Ullah
Liangjun Su
Affiliation:
Guanghua School of Management, Peking University
Aman Ullah
Affiliation:
University of California, Riverside
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Abstract

We define a three-step procedure for more efficient estimation of the nonparametric regression mean with nonparametric autocorrelated errors. The procedure is based upon a nonparametric prewhitening transformation of the dependent variable that has to be estimated from the data by a local polynomial technique. We establish the asymptotic distribution of our estimator under weak dependence conditions and show that it is more efficient than the conventional local polynomial estimator. Furthermore, we consider criterion functions based on the linear exponential family, which include the local polynomial least squares criterion as a special case. Simulation evidence suggests that significant gains can be achieved in finite samples with our approach.The authors thank Oliver Linton for his many constructive and helpful suggestions. The very insightful comments from the referees are also gratefully acknowledged. The second author gratefully acknowledges financial support from the Academic Senate, UCR.

Type
Research Article
Information
Econometric Theory , Volume 22 , Issue 1 , February 2006 , pp. 98 - 126
Copyright
© 2006 Cambridge University Press

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