standard nonlinear least-squares methods in discrete-time. A complete asymptotic theory for the parametric estimates is … developed. The limit theory relies on infill and long span asymptotics and is robust to deviations from stationarity, requiring …

heteroskedasticity and serial correlation. The limit theory of the LAD estimator is obtained without assuming the finite density …

outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In …