Skip to main content
Article thumbnail
Location of Repository

Consistent estimation of a general nonparametric regression function in time series

By Oliver Linton and Alessio Sancetta


We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition

Topics: HA Statistics, HB Economic Theory
Publisher: Elsevier
Year: 2009
DOI identifier: 10.1016/j.jeconom.2009.02.006
OAI identifier:
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.