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.

Urheber*in: Linton, Oliver; Sancetta, Alessio

Free access - no reuse

Extent: Seite(n): 70-78

Language: Englisch

Notes: Status: Postprint; begutachtet (peer reviewed)

Bibliographic citation: Journal of Econometrics, 152(1)

Classification: Hypothesis Testing: General

Subject: Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Regression

Event: Geistige Schöpfung

(who): Linton, Oliver
Sancetta, Alessio

Event: Veröffentlichung

(where): Niederlande

(when): 2009

DOI: https://doi.org/10.1016/j.jeconom.2009.02.006

URN: urn:nbn:de:0168-ssoar-233155

Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln

Last update: 21.06.2024, 4:26 PM CEST

Data provider

This object is provided by:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Zeitschriftenartikel

Associated

Linton, Oliver
Sancetta, Alessio

Time of origin

2009

Other Objects (12)

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Arbeitspapier

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Arbeitspapier

Estimating a convex function in nonparametric regression

Artikel

Nonparametric regression estimation for multivariate null recurrent processes

Arbeitspapier

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Arbeitspapier

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Arbeitspapier

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Arbeitspapier

Estimating a convex function in nonparametric regression

Artikel

Nonparametric regression estimation for multivariate null recurrent processes

Arbeitspapier

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Arbeitspapier

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Arbeitspapier

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Arbeitspapier

Estimating a convex function in nonparametric regression

Artikel

Nonparametric regression estimation for multivariate null recurrent processes

Arbeitspapier

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Arbeitspapier

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.

Consistent estimation of a general nonparametric regression function in time series

Download

Object Details

References and Relationships

Classification and Topics

Contributors, Places and Time

Further information

Data provider

Object type

Associated

Time of origin

Other Objects (12)

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Estimating a convex function in nonparametric regression

Nonparametric regression estimation for multivariate null recurrent processes

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Estimating a convex function in nonparametric regression

Nonparametric regression estimation for multivariate null recurrent processes

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Consistent estimation of a general nonparametric regression function in time series

Nonparametric estimation of homogeneous function

Nonparametric estimation of homogeneous function

Strongly Consistent Density Estimation of Regression Residual

Estimating a convex function in nonparametric regression

Estimating a convex function in nonparametric regression

Nonparametric regression estimation for multivariate null recurrent processes

Nonparametric estimation of an additive quantile regression model

Efficient estimation of the error distribution function in heteroskedastic nonparametric regression with missing data

Nonparametric estimation of generalized impulse response function

Nonparametric Estimation of Generalized Impulse Response Function

Testing symmetry of a nonparametric bivariate regression function

Related objects

Reset password