Kernel estimation of functional coefficients in nonparametric ARX time series models

Woocheol Kim

This paper suggests a general functional-coefficient regression model in a form of ARX time series model. Contrast to the common threshold variable in the previous works, our model allows each coefficient to possess a different threshold variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local linear smoothing and marginal integration. The asymptotic normality of the proposed estimator is derived with the explicit form of bias and variance.

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Year of publication:	2001
Authors:	Kim, Woocheol
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätztheorie \| Estimation theory \| Autokorrelation \| Autocorrelation \| Zeitreihenanalyse \| Time series analysis