More Efficient Local Polynomial Estimation in Nonparametric Regression with Autocorrelated Errors

Journal of the American Statistical Association

Volumn 98, Issue 464, 2003, Pages 980-992

  Xiao, Zhijie ^a   Linton, Oliver B ^b   Carroll, Raymond J ^c   Mammen, Enno ^d  

^a UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c TEXAS A AND M UNIVERSITY   (United States)

^d UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Kernel regression; Linear process; Prewhitening; Time series

Indexed keywords

EID: 1142265315     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/016214503000000936     Document Type: Article

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