An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors

Anton Schick

Journal of Time Series Analysis, 1998, vol. 19, issue 5, 575-589

Abstract: In this paper an adaptive estimator of the autocorrelation coefficient is constructed in regression models whose error variables follow a stationary autoregressive process of order 1. Examples of nonparametric, additive and semiparametric regression models are discussed.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:19:y:1998:i:5:p:575-589

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