Consistent estimation of a general nonparametric regression function in time series

Oliver Linton and Alessio Sancetta

Journal of Econometrics, 2009, vol. 152, issue 1, pages 70-78

Abstract: We propose an estimator of the conditional distribution of XtXt-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.

Keywords: Kernel; Regression; Time; series (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:152:y:2009:i:1:p:70-78

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