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Nonparametric estimation from time series residuals

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

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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
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1486/

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