Arbeitspapier
Estimation in an additive model when the components are linked parametrically
Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure is based on two steps. In the first step nonparametric smoothers are used for the estimation of each additive component without taking into account the parametric link of the functions. In a second step the parameter is estimated by using the parametric restriction between the additive components. Interestingly, our method needs no undersmoothing in the first step.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1999,1
- Klassifikation
-
Wirtschaft
- Thema
-
Finance
Nonparametric Regression
Additive Models
Asymptotics
Autoregression
GARCH Models
Measurement Error
Time Series
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Carroll, Raymond J.
Härdle, Wolfgang
Mammen, Enno
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1999
- Handle
- URN
-
urn:nbn:de:kobv:11-10055992
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Carroll, Raymond J.
- Härdle, Wolfgang
- Mammen, Enno
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1999
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