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Kernel estimation of functional coefficients in nonparametric ARX time series models

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  • Kim, Woocheol

Abstract

This paper suggests a general functional-coefficient regression model in a form of ARX time series model. Contrast to the common threshold variable in the previous works, our model allows each coefficient to possess a different threshold variable and can cover a wide range of nonlinear dynamic processes. The estimation procedure consists of two steps; local linear smoothing and marginal integration. The asymptotic normality of the proposed estimator is derived with the explicit form of bias and variance.

Suggested Citation

  • Kim, Woocheol, 2001. "Kernel estimation of functional coefficients in nonparametric ARX time series models," SFB 373 Discussion Papers 2001,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:2001101
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