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Consistent estimation of a general nonparametric regression function in time series

By Oliver Linton and Alessio Sancetta

Abstract

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: oai:eprints.lse.ac.uk:30259
Provided by: LSE Research Online
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