More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors

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Trending time-varying coefficient time series models with serially correlated errors (2007, background): “For a cogent discussion of this aspect, see Fan and Yao (1998), Xiao et al. (2003) , and Cai and Chen (2005).”
Local polynomial estimation of nonparametric simultaneous equations models (2008, methodology): “Our procedure resembles many other kernel-based multi-stage nonparametric procedures (e.g., Linton, 2000; Xiao et al., 2003; Su and Ullah, 2006) in that the first stage estimation does not contribute to the asymptotic variance of the final stage estimators.”
Semiparametric GMM estimation of spatial autoregressive models (2012, background): “Nevertheless, due to the presence of the nonparametric componentm, it is not obvious how one should proceed along this direction (see Xiao et al. (2003) in the time series setup).”