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
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 |
| Library of Congress subject classification: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/30259/ |
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