Nonparametric regression with weakly dependent data: the discrete and continuous regressor case

DOI10.1080/10485250902928435MaRDI QIDQ3391786zbMATH OpenOpenAlexFDO

Authors Cong Li, Desheng Ouyang, Jeffrey S. Racine

Publication date 13 August 2009

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250902928435

zbMATH Keywords

cross-validationkernelsmoothtime series

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A robust nonparametric estimation of the autoregression function under an ergodic hypothesis
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Methods for Estimating a Conditional Distribution Function
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Nonparametric estimation of regression functions with both categorical and continuous data
• REGRESSION QUANTILES FOR TIME SERIES
• Root-n-consistent estimation of partially linear time series models
• Root-N-Consistent Semiparametric Regression
• Semiparametric Non-Linear Time Series Model Selection
• THE UNIQUENESS OF CROSS-VALIDATION SELECTED SMOOTHING PARAMETERS IN KERNEL ESTIMATION OF NONPARAMETRIC MODELS
• Uniform convergence rate of kernel estimation with mixed categorical and continuous data

Cited in

(5)

• Data-driven algorithms for dimension reduction in causal inference
• Skill-biased technical change and labor market inefficiency
• A partially linear kernel estimator for categorical data
• Multivariate kernel regression in vector and product metric spaces
• Nonparametric estimation with mixed data types in survey sampling

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