Yang, Ke - In: Economics Bulletin 33 (2013) 1, pp. 19-27
In this paper we propose a modification of the local linear smoother to account for the autocorrelated errors in a …. The asymptotic bias and variance of the proposed estimator are studied for AR(1) case. Compared to the standard local … linear smoother, the proposed estimator retains the same design-adaptive bias but has a smaller asymptotic variance …