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Ke Yang
''Multivariate Local Polynomial Regression With Autocorrelated Errors''
( 2012, Vol. 32 No.4 )
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
JEL: C1 - Econometric and Statistical Methods: General
C8 - Data Collection and Data Estimation Methodology; Computer Programs: General
Manuscript Received : Oct 02 2012 Manuscript Accepted : Dec 03 2012

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