Linton, Oliver and Mammen, Enno (2006) Nonparametric transformation to white noise. EM/2006/503. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with serially correlated errors. We propose an estimator of the news impact curve based on a dynamic transformation that produces white noise errors. This yields an estimating equation for m that is a type two linear integral equation. We investigate both the stationary case and the case where the error has a unit root. In the stationary case we establish the pointwise asymptotic normality. In the special case of a nonparametric regression subject to time series errors our estimator achieves efficiency improvements over the usual estimators, see Xiao, Linton, Carroll, and Mammen (2003). In the unit root case our procedure is consistent and asymptotically normal unlike the standard regression smoother. We also present the distribution theory for the parameter estimates, which is non-standard in the unit root case. We also investigate its finite sample performance through simulation experiments.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2006 the authors|
|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|
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Collections > LSE Financial Markets Group (FMG) Working Papers
|Date Deposited:||21 Apr 2008 11:56|
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