Additive Nonlinear ARX Time Series and Projection Estimates

Elias Masry and Tj?stheim, Dag

Econometric Theory, 1997, vol. 13, issue 02, pages 214-252

Abstract: We propose projections as means of identifying and estimating the components (endogenous and exogenous) of an additive nonlinear ARX model. The estimates are nonparametric in nature and involve averaging of kernel-type estimates. Such estimates have recently been treated informally in a univariate time series situation. Here we extend the scope to nonlinear ARX models and present a rigorous theory, including the derivation of asymptotic normality for the projection estimates under a precise set of regularity conditions.

Date: 1997
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