Consistent estimation of a general nonparametric regression function in time series
Linton, O. & Sancetta, A.
(2009).
Consistent estimation of a general nonparametric regression function in time series.
Journal of Econometrics,
152(1), 70-78.
https://doi.org/10.1016/j.jeconom.2009.02.006
We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.
| Item Type | Article |
|---|---|
| Copyright holders | © 2009 Elsevier |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD LSE > Research Centres > Financial Markets Group |
| DOI | 10.1016/j.jeconom.2009.02.006 |
| Date Deposited | 06 Apr 2011 |
| URI | https://researchonline.lse.ac.uk/id/eprint/30259 |
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