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Kernel regression smoothing of time series


  • HÄRDLE, Wolfgang
  • VIEU, Philippe


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  • HÄRDLE, Wolfgang & VIEU, Philippe, 1992. "Kernel regression smoothing of time series," CORE Discussion Papers RP 981, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvrp:981 Note: In : Journal of Time Series Anlysis, 13(3), 209-232, 1992

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    References listed on IDEAS

    1. Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
    2. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-1481, November.
    3. Hildenbrand, Werner, 1983. "On the "Law of Demand."," Econometrica, Econometric Society, vol. 51(4), pages 997-1019, July.
    4. Kannai, Yakar, 1989. "A characterization of monotone individual demand functions," Journal of Mathematical Economics, Elsevier, vol. 18(1), pages 87-94, February.
    5. Polterovich, Victor & Mityushin, Leonid, 1978. "Criteria for Monotonicity of Demand Functions," MPRA Paper 20097, University Library of Munich, Germany.
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    Cited by:

    1. Gao, Jiti & Tong, Howell, 2002. "Nonparametric and semiparametric regression model selection," MPRA Paper 11987, University Library of Munich, Germany, revised Feb 2004.
    2. Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès, 1997. "Nonparametric Methods and Option Pricing," CIRANO Working Papers 97s-19, CIRANO.
    3. del Rio, Alejandro Quintela, 1996. "Comparison of bandwidth selectors in nonparametric regression under dependence," Computational Statistics & Data Analysis, Elsevier, vol. 21(5), pages 563-580, May.
    4. Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
    5. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
    6. Franke, Jürgen & Kreiss, Jens-Peter & Mammen, Enno, 1997. "Bootstrap of kernel smoothing in nonlinear time series," SFB 373 Discussion Papers 1997,20, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    7. Liptser, R. & Spokoiny, Vladimir G., 1998. "On estimating a dynamic function of a stochastic system with averaging," SFB 373 Discussion Papers 1998,102, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

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