Nonparametric lag selection for nonlinear additive autoregressive models
AbstractThe 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 InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 111 (2011)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/ecolet
Additive models Consistent lag selection Final prediction error Nonlinear autoregression Nonparametric regression;
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- Enno Mammen, 2003. "Generalised structured models," Biometrika, Biometrika Trust, vol. 90(3), pages 551-566, September.
- repec:wop:humbsf:1997-59 is not listed on IDEAS
- 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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