Consistent estimation of a general nonparametric regression function in time series

We propose an estimator of the conditional distribution of XtXt-1,Xt-2,..., and the corresponding regression function , where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.

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Year of publication:	2009
Authors:	Linton, Oliver ; Sancetta, Alessio
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 152.2009, 1, p. 70-78
Publisher:	Elsevier
Subject:	Kernel Regression Time series

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005022937