Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity

Journal of Econometrics ◽

10.1016/j.jeconom.2019.01.016 ◽

2019 ◽

Vol 213 (2) ◽

pp. 608-631 ◽

Author(s):

Oliver Linton ◽

Zhijie Xiao

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation

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ASYMPTOTICALLY EFFICIENT ESTIMATION OF NONPARAMETRIC REGRESSION COEFFICIENTS

Optimizing Methods in Statistics ◽

10.1016/b978-0-12-604550-5.50010-9 ◽

1971 ◽

pp. 87-88

Author(s):

L. Weiss ◽

J. Wolfowitz

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation ◽

Regression Coefficients ◽

Asymptotically Efficient

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Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Statistics & Probability Letters ◽

10.1016/j.spl.2016.04.009 ◽

2016 ◽

Vol 117 ◽

pp. 31-39 ◽

Author(s):

Justin Chown

Keyword(s):

Distribution Function ◽

Missing Data ◽

Nonparametric Regression ◽

Error Distribution ◽

Efficient Estimation

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Efficient estimation for error component seemingly unrelated nonparametric regression models

Metrika ◽

10.1007/s00184-009-0268-x ◽

2009 ◽

Vol 73 (1) ◽

pp. 121-138 ◽

Author(s):

Bin Zhou ◽

Qinfeng Xu ◽

Jinhong You

Keyword(s):

Nonparametric Regression ◽

Regression Models ◽

Error Component ◽

Efficient Estimation

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MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS

Econometric Theory ◽

10.1017/s026646660606004x ◽

2005 ◽

Vol 22 (01) ◽

Author(s):

Liangjun Su ◽

Aman Ullah

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation ◽

Autocorrelated Errors

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Efficient estimation of a shift in nonparametric regression

Statistics & Probability Letters ◽

10.1016/s0167-7152(98)00165-5 ◽

1999 ◽

Vol 41 (3) ◽

pp. 287-301 ◽

Author(s):

Anton Schick

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation

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Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity

SSRN Electronic Journal ◽

10.2139/ssrn.2610020 ◽

2015 ◽

Author(s):

Oliver B. Linton ◽

Zhijie Xiao

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation

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Miscellanea. Efficient estimation of additive nonparametric regression models

10.1093/biomet/84.2.469 ◽

1997 ◽

Vol 84 (2) ◽

pp. 469-473 ◽

Author(s):

O. Linton

Keyword(s):

Nonparametric Regression ◽

Regression Models ◽

Efficient Estimation ◽

Additive Nonparametric Regression

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Efficient estimation of seemingly unrelated additive nonparametric regression models

Journal of Systems Science and Complexity ◽

10.1007/s11424-012-8351-1 ◽

2012 ◽

Vol 26 (4) ◽

pp. 595-608

Author(s):

Yuan Yuan ◽

Jinhong You ◽

Yong Zhou

Keyword(s):

Nonparametric Regression ◽

Regression Models ◽

Efficient Estimation ◽

Additive Nonparametric Regression

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Robust adaptive efficient estimation for semi-Markov nonparametric regression models

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-018-9186-8 ◽

2018 ◽

Vol 22 (2) ◽

pp. 187-231 ◽

Author(s):

Vlad Stefan Barbu ◽

Slim Beltaief ◽

Sergey Pergamenshchikov

Keyword(s):

Nonparametric Regression ◽

Regression Models ◽

Efficient Estimation ◽

Robust Adaptive

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ASYMPTOTICALLY EFFICIENT ESTIMATION OF NONPARAMETRIC REGRESSION COEFFICIENTS

Statistical Decision Theory and Related Topics ◽

10.1016/b978-0-12-307550-5.50006-x ◽

1971 ◽

pp. 29-39 ◽

Author(s):

L. Weiss ◽

J. Wolfowitz

Keyword(s):

Nonparametric Regression ◽

Efficient Estimation ◽

Regression Coefficients ◽

Asymptotically Efficient

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