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An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors

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  • Anton Schick

Abstract

In this paper an adaptive estimator of the autocorrelation coefficient is constructed in regression models whose error variables follow a stationary autoregressive process of order 1. Examples of nonparametric, additive and semiparametric regression models are discussed.

Suggested Citation

  • Anton Schick, 1998. "An Adaptive Estimator of the Autocorrelation Coefficient in Regression Models with Autoregressive Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(5), pages 575-589, September.
    • Handle: RePEc:bla:jtsera:v:19:y:1998:i:5:p:575-589
    DOI: 10.1111/1467-9892.00109
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    Cited by:

    1. Sneddon, Gary & Sutradhar, Brajendra C., 2004. "On semiparametric familial-longitudinal models," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 369-379, September.
    2. Liang, Han-Ying & Fan, Guo-Liang, 2009. "Berry-Esseen type bounds of estimators in a semiparametric model with linear process errors," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 1-15, January.
    3. Forrester Jeffrey S. & Hooper William J. & Peng Hanxiang & Schick Anton, 2003. "On the construction of efficient estimators in semiparametric models," Statistics & Risk Modeling, De Gruyter, vol. 21(2), pages 109-138, February.

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