Nonparametric lag selection for nonlinear additive autoregressive models

The lag selection procedure based on the final prediction error (FPE) is investigated when the additive structure is a priori known in the nonparametric autoregression. The consistency of the lag selection is proved, followed by the finite sample simulation results.

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Year of publication:	2011
Authors:	Guo, Zheng-Feng ; Shintani, Mototsugu
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 111.2011, 2, p. 131-134
Publisher:	Elsevier
Keywords:	Additive models Consistent lag selection Final prediction error Nonlinear autoregression Nonparametric regression

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009018771