SEMIPARAMETRIC TIME SERIES REGRESSION

Young K. Truong and Charles J. Stone

Journal of Time Series Analysis, 1994, vol. 15, issue 4, 405-428

Abstract: Abstract. Let (Xi, Yi), i= 0, pL 1,… denote a bivariate stationary time series with Xi being Rd‐valued and Yi being real‐valued. We consider the regression model Yi=θ(Xi) +Zi, where θ(·) is an unknown function and Zi is an autoregressive process. Given a realization of length n, we examine the problem of estimating the nonparametric function θ(·) and the parametric component Zi. Under appropriate regularity conditions, it is shown that both components can be optimally estimated.

Date: 1994
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https://doi.org/10.1111/j.1467-9892.1994.tb00202.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:15:y:1994:i:4:p:405-428

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