Newly developed and advanced methods for nonlinear time series analysis are in general not available in standard software packages. Moreover, their implementation requires substantial time, computing power as well as programming skills. The recent results on lag and bandwidth selection methods...

Applying nonparametric variable selection criteria in nonlinear regression models generally requires a substantial computational effort if the data set is large. In this paper we present a selection technique that is computationally much less demanding and performs well in comparison with...

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...