Multivariate Local Polynomial Regression With Autocorrelated Errors

Ke Yang

Economics Bulletin, 2012, vol. 32, issue 4, 3298-3305

Abstract: We propose a three-step local polynomial procedure for a multivariate nonparametric regression in which the errors are autocorrelated. The proposed estimator uses all sample points to estimate m(x), the regression function evaluated at point x, but the contributions from all non-local points are used only through their residuals. Our proposed estimator exhibits good finite sample performance in a Monte Carlo simulation study.

Keywords: local polynomial regression; autocorrelated errors; efficiency (search for similar items in EconPapers)
JEL-codes: C1 C8 (search for similar items in EconPapers)
Date: 2012-12-03
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