On inference for a semiparametric partially linear regression model with serially correlated errors

The authors consider a semiparametric partially linear regression model with serially correlated errors. They propose a new way of estimating the error structure which has the advantage that it does not involve any nonparametric estimation. This allows them to develop an inference procedure consisting of a bandwidth selection method, an efficient semiparametric generalized least squares estimator of the parametric component, a goodness‐of‐fit test based on the bootstrap, and a technique for selecting significant covariates in the parametric component. They assess their approach through simulation studies and illustrate it with a concrete application.