R-estimation in a Linear Model with Autoregressive Errors

Abstract: In the linear regression model, we construct a nonparametric estimate of the regression parameter vector $\boldgreekβ$ that is insensitive to a possible nuisance autoregression in the model errors. The main tool for estimating $\boldgreekβ$ is based on the autoregression rank scores of the model. The resulting estimator is invariant to the autoregression parameters and thus remains insensitive to potential hidden linear trends or other structured disturbances, which frequently occur in economic, hydrological, and related applications.