Regression Models with Time Series Errors

T. C. Lin, M. Pourahmadi and A. Schick

Journal of Time Series Analysis, 1999, vol. 20, issue 4, 425-433

Abstract: In models of the form Yt = r(Xt) + Zt, where r is an unknown function and {Xt} is a covariate process independent of the stationary error {Zt}, we give conditions under which estimators based on residuals Z1, ..., Zn obtained from linear smoothers are asymptotically equivalent to those based on the actual errors Z1, ..., Zn.

Date: 1999
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