Nonparametric estimation of additive nonlinear ARX time series: Local Linear Fitting and Projections
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Issue Date
2000-08-01Article Version
Scholarly/refereed, publisher version
Published Version
http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=55027&fulltextType=RA&fileId=S0266466600164011Metadata
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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.
ISSN
0266-4666Collections
Citation
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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