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Estimating the Innovation Distribution in Nonlinear Autoregressive Models

Author

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  • Anton Schick

    ()

  • Wolfgang Wefelmeyer

    ()

Abstract

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Suggested Citation

  • Anton Schick & Wolfgang Wefelmeyer, 2002. "Estimating the Innovation Distribution in Nonlinear Autoregressive Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(2), pages 245-260, June.
  • Handle: RePEc:spr:aistmt:v:54:y:2002:i:2:p:245-260
    DOI: 10.1023/A:1022413700321
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    References listed on IDEAS

    as
    1. Drost, F.C. & Klaassen, C.A.J. & Werker, B.J.M., 1994. "Adaptive estimation in time-series models," Discussion Paper 1994-88, Tilburg University, Center for Economic Research.
    2. repec:cup:etheor:v:11:y:1995:i:5:p:818-87 is not listed on IDEAS
    3. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(05), pages 818-887, October.
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    Cited by:

    1. repec:bla:jtsera:v:38:y:2017:i:1:p:72-98 is not listed on IDEAS
    2. Natalie Neumeyer, 2009. "Smooth Residual Bootstrap for Empirical Processes of Non-parametric Regression Residuals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(2), pages 204-228.
    3. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers CWP25/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Escanciano, Juan Carlos & Jacho-Chávez, David T., 2012. "n-uniformly consistent density estimation in nonparametric regression models," Journal of Econometrics, Elsevier, vol. 167(2), pages 305-316.
    5. Müller, Ursula U. & Schick, Anton & Wefelmeyer, Wolfgang, 2009. "Estimators for alternating nonlinear autoregression," Journal of Multivariate Analysis, Elsevier, vol. 100(2), pages 266-277, February.

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