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Consistent estimation of a general nonparametric regression function in time series
[journal article]
Abstract We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function E(Xt|Xt−1,Xt−2,…), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condi... view more
We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function E(Xt|Xt−1,Xt−2,…), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.... view less
Keywords
regression
Classification
Economic Statistics, Econometrics, Business Informatics
Free Keywords
C12; Kernel; Time series
Document language
English
Publication Year
2009
Page/Pages
p. 70-78
Journal
Journal of Econometrics, 152 (2009) 1
DOI
https://doi.org/10.1016/j.jeconom.2009.02.006
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)