Linton, Oliver and Sancetta, Alessio (2009) Consistent estimation of a general nonparametric regression function in time series. Journal of Econometrics, 152 (1). pp. 70-78. ISSN 0304-4076
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Identification Number: 10.1016/j.jeconom.2009.02.006
Abstract
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 |
|---|---|
| Official URL: | http://www.sciencedirect.com/science/journal/03044... |
| Additional Information: | © 2009 Elsevier |
| Divisions: | Economics STICERD Financial Markets Group |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Date Deposited: | 06 Apr 2011 15:28 |
| Last Modified: | 11 Dec 2024 23:32 |
| URI: | http://eprints.lse.ac.uk/id/eprint/30259 |
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