Nonparametric lag selection for nonlinear additive autoregressive models

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 111
Issue: 2
Pages: 131-134

Authors (2)

Guo, Zheng-Feng (not in RePEc) Shintani, Mototsugu (University of Tokyo)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

The lag selection procedure based on the final prediction error (FPE) is investigated when the additive structure is a priori known in the nonparametric autoregression. The consistency of the lag selection is proved, followed by the finite sample simulation results.

Technical Details

RePEc Handle
repec:eee:ecolet:v:111:y:2011:i:2:p:131-134
Journal Field
General
Author Count
2
Added to Database
2026-01-29