Nonparametric estimation of additive nonlinear ARX time series: Local linear fitting and projections

被引：21

作者：

Cai, ZW ^{[1
]}

Masry, E

机构：

[1] Univ N Carolina, Dept Math, Charlotte, NC 28223 USA

[2] Univ Calif San Diego, La Jolla, CA 92093 USA

来源：

ECONOMETRIC THEORY | 2000年 / 16卷 / 04期

关键词：

D O I：

10.1017/S0266466600164011

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ a local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection estimates of the additive components. Expressions for the asymptotic bias and variance are given.

引用

页码：465 / 501

页数：37

共 31 条

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