Estimating error correlation in nonparametric regression

Naomi Simone Altman

Statistics & Probability Letters, 1993, vol. 18, issue 3, 213-218

Abstract: Estimates of error correlations in kernel nonparametric regression are obtained using the method of moments. A high order asymptotic expansion of the estimators shows that they are consistent and asymptotically normal at parametric rates, and provides heuristics for the choice of bandwidth and kernel.

Keywords: Kernel; smoothing; correlated; errors; method; of; moments; time; series; autocorrelation (search for similar items in EconPapers)
Date: 1993
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