Journal article | Zeitschriftenartikel
Consistent estimation of a general nonparametric regression function in time series
We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function E(Xt|Xt−1,Xt−2,…), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.
- Umfang
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Seite(n): 70-78
- Sprache
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Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Journal of Econometrics, 152(1)
- Klassifikation
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Hypothesis Testing: General
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
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Linton, Oliver
Sancetta, Alessio
- Ereignis
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Veröffentlichung
- (wo)
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Niederlande
- (wann)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-233155
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Linton, Oliver
- Sancetta, Alessio
Entstanden
- 2009
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