More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
自相关误差下更高效的非参数局部多项式估计
We propose a modification of local polynomial 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 must be estimated from the data. We establish the asymptotic distribution of our estimator under weak dependence conditions. We show that the proposed estimation procedure is more efficient than the conventional local polynomial method. We…