We consider linear predictive coding and noise shaping for coding and transmission of auto-regressive (AR) sources over lossy networks. We generalize an existing framework to arbitrary filter orders and propose use of fixed-lag smoothing at the decoder, in order to further reduce the impact of transmission failures. We show that fixed-lag smoothing up to a certain delay can be obtained without additional computational complexity by exploiting the statespace structure. We prove that the proposed smoothing strategy strictly improves performance under quite general conditions. Finally, we provide simulations on AR sources, and channels with correlated losses, and show that substantial improvements are possible.