A local linear estimator of generalized impulse response (GIR) functions for nonlinear conditional heteroskedastic autoregressive processes is derived and shown to be asymptotically normal. A plug-in bandwidth is obtained that minimizes the asymptotical mean squared error of the GIR estimator. A...

This note reconsiders the 'classical' approach to trend estimation and presents a modern treatment of this technique that enables trend filters which incorporate end-effects to be constructed easily and efficiently. The approach is illustrated by estimating recent Northern Hemispheric...