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Nonparametric estimation of additive nonlinear ARX time series: Local Linear Fitting and Projections

Cai, Zongwu
; 
Masry, Elias
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Abstract
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.
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This is the publisher's version, also available electronically from http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=55027&fulltextType=RA&fileId=S0266466600164011.
Date
2000-08-01
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Cambridge University Press
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Economics Scholarly Works
Center for East Asian Studies Scholarly Works
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Cai, Zongwu; Masry, Elias. (2000). "Nonparametric estimation of additive nonlinear ARX time series: Local Linear Fitting and Projections." Econometric Theory, 16(4):465. http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=55027&fulltextType=RA&fileId=S0266466600164011
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https://hdl.handle.net/1808/16366
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