Consistent estimation of a general nonparametric regression function in time series
AbstractWe propose an estimator of the conditional distribution of XtXt-1,Xt-2,..., and the corresponding regression function , where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 152 (2009)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/jeconom
Kernel Regression Time series;
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