Robinson, Peter (1986) Nonparametric estimation from time series residuals. Cahiers du Centre d'études de Recherche Opérationnelle, 28 (1). pp. 197-208. ISSN 0008-9737
Abstract
We consider the nonparametric estimation of the distribution of innovations εt in a stationary autoregression. We obtain estimators of the kernel of the probability density of εt and its derivatives from the estimated residuals of the Yule-Walker estimator of the autoregressive coefficients.
| Item Type: | Article |
|---|---|
| Additional Information: | © 1986 Centre d'études de recherche opérationnelle |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models |
| Sets: | Departments > Economics Collections > Economists Online |
| Date Deposited: | 27 Apr 2007 |
| URL: | http://eprints.lse.ac.uk/1486/ |
Actions (login required)
 |
Record administration - authorised staff only |
