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Nonparametric lag selection for nonlinear additive autoregressive models

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  • Guo, Zheng-Feng
  • Shintani, Mototsugu

Abstract

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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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 111 (2011)
Issue (Month): 2 (May)
Pages: 131-134

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Handle: RePEc:eee:ecolet:v:111:y:2011:i:2:p:131-134

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Additive models Consistent lag selection Final prediction error Nonlinear autoregression Nonparametric regression;

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  1. repec:wop:humbsf:1997-59 is not listed on IDEAS
  2. Oliver Linton & E. Mammen & J. Nielsen, 1999. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 300, London School of Economics and Political Science, LSE Library.
  3. Enno Mammen, 2003. "Generalised structured models," Biometrika, Biometrika Trust, vol. 90(3), pages 551-566, September.
  4. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 21(1), pages 243-247, December.
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