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Non-parametric regression with a latent time series

Linton, Oliver, Nielsen, Jens Perch and Nielsen, Soren Feodor (2009) Non-parametric regression with a latent time series. Econometrics Journal, 12 (2). pp. 187-207. ISSN 1368-423X

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Abstract

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose estimation procedures based on local linear kernel smoothing; our estimators are all explicitly given. We establish the pointwise consistency and asymptotic normality of our estimators. We also show that the effects of estimating the latent time series can be ignored in certain cases.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2009 Wiley-Blackwell
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Economics
Collections > Economists Online
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Research centres and groups > Financial Markets Group (FMG)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 05 Apr 2011 11:52
URL: http://eprints.lse.ac.uk/30438/

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