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Additive Nonlinear ARX Time Series and Projection Estimates

  • Masry, Elias
  • Tjøstheim, Dag
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    We propose projections as means of identifying and estimating the components (endogenous and exogenous) of an additive nonlinear ARX model. The estimates are nonparametric in nature and involve averaging of kernel-type estimates. Such estimates have recently been treated informally in a univariate time series situation. Here we extend the scope to nonlinear ARX models and present a rigorous theory, including the derivation of asymptotic normality for the projection estimates under a precise set of regularity conditions.

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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 13 (1997)
    Issue (Month): 02 (April)
    Pages: 214-252

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    Handle: RePEc:cup:etheor:v:13:y:1997:i:02:p:214-252_00
    Contact details of provider: Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK
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