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Nearest Neighbor Conditional Estimation for Harris Recurrent Markov Chains

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  • Sancetta, A.

Abstract

This paper is concerned with consistent nearest neighbor time series estimation for data generated by a Harris recurrent Markov chain. The goal is to validate nearest neighbor estimation in this general time series context, using simple and weak conditions. The framework considered covers, in a unified manner, a wide variety of statistical quantities, e.g. autoregression function, conditional quantiles, conditional tail estimators and, more generally, extremum estimators. The focus is theoretical, but examples are given to highlight applications.

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File URL: http://www.econ.cam.ac.uk/research/repec/cam/pdf/cwpe0735.pdf
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Bibliographic Info

Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 0735.

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Length: 29
Date of creation: Jul 2007
Date of revision:
Handle: RePEc:cam:camdae:0735

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Related research

Keywords: Nonparametric Estimation; Quantile Estimation; Semiparametric Estimation; Sequential Forecasting; Tail Estimation; Time Series.;

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References

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  1. Nze, Patrick Ango & Doukhan, Paul, 2004. "Weak Dependence: Models And Applications To Econometrics," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(06), pages 995-1045, December.
  2. Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, School of Economics and Management, University of Aarhus.
  3. Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
  4. Masry, Elias, 2005. "Nonparametric regression estimation for dependent functional data: asymptotic normality," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 115(1), pages 155-177, January.
  5. Yakowitz, Sid, 1993. "Nearest neighbor regression estimation for null-recurrent Markov time series," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 48(2), pages 311-318, November.
  6. van Garderen, Kees Jan, 1997. "Curved Exponential Models in Econometrics," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 13(06), pages 771-790, December.
  7. Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 84(2), pages 313-342, December.
  8. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, Econometric Society, vol. 71(4), pages 1049-1082, 07.
  9. Ole E. Barndorff-Nielsen & Neil Shephard, 2000. "Econometric analysis of realised volatility and its use in estimating stochastic volatility models," Economics Papers 2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
  10. Rychlik, Tomasz, 1994. "Distributions and expectations of order statistics for possibly dependent random variables," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 48(1), pages 31-42, January.
  11. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, Elsevier, vol. 21(2), pages 323-343, March.
  12. de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G., 1989. "Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 32(2), pages 213-224, August.
  13. Peter Hall & Qiwei Yao, 2005. "Approximating conditional distribution functions using dimension reduction," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 16333, London School of Economics and Political Science, LSE Library.
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Cited by:
  1. Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, Elsevier, vol. 152(1), pages 70-78, September.
  2. Battey, Heather & Sancetta, Alessio, 2013. "Conditional estimation for dependent functional data," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 120(C), pages 1-17.

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