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Estimating the Innovation Distribution in Nonlinear Autoregressive Models

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  • Anton Schick
  • Wolfgang Wefelmeyer

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  • 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

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    1. repec:cup:etheor:v:11:y:1995:i:5:p:818-87 is not listed on IDEAS
    2. 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.
    3. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(5), pages 818-887, October.
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    Cited by:

    1. Gabe Chandler & Wolfgang Polonik, 2017. "Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(1), pages 72-98, January.
    2. Linton, Oliver & Seo, Myung Hwan & Whang, Yoon-Jae, 2023. "Testing stochastic dominance with many conditioning variables," Journal of Econometrics, Elsevier, vol. 235(2), pages 507-527.
    3. 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.
    4. 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, June.
    5. 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.
    6. 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.
    7. Oliver Linton & Dajing Shang & Yang Yan, 2012. "Efficient estimation of conditional risk measures in a semiparametric GARCH model," CeMMAP working papers 25/12, Institute for Fiscal Studies.
    8. Linton, O. & Seo, M. & Whang, Y-J., 2020. "Testing Stochastic Dominance with Many Conditioning Variables," Cambridge Working Papers in Economics 2004, Faculty of Economics, University of Cambridge.

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