Consistent estimation of a general nonparametric regression function in time series

A-Tier
Journal: Journal of Econometrics
Year: 2009
Volume: 152
Issue: 1
Pages: 70-78

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:econom:v:152:y:2009:i:1:p:70-78
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25