Estimation of an autoregressive semiparametric model with exogenous variables

DOI10.1016/S0378-3758(97)00137-7MaRDI QIDQ1299534zbMATH OpenFDO

Authors Denis Bosq, Jia Shen

Publication date 23 August 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(97)00137-7

zbMATH Keywords

autoregressive semiparametric modelexogeneous variableskernel nonparametric estimationnonlinearsemi-nonparametric

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Review text

The authors deal with the estimation of an autoregressive semiparametric model \[ X_{t+1}= \varphi(X_t, \dots,X_{t-r+1})+ \psi(Y_t)+ \varepsilon_t, \] where \(\varphi\) and \(\psi\) are unknown nonlinear functions and \(\{Y_t\}\) is an exogenous variable. Two special cases are considered: (1) \(\psi\) is linear \(\psi(Y_t)= AY_t\) with an unknown parameter \(A\); (2) \(\psi\) is nonlinear corresponding to a series expansion. One first estimates parametrically the exogenous part \(\psi(\cdot)\), and then estimates nonparametrically the endogeneous part \(\varphi(\cdot)\). The a.s. and \(L_s\) convergence results are given. Numerical simulations demonstrate the method.

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Cited in

(8)

• Semiparametric estimation of regression functions in autoregressive models
• Estimation and simulation of autoregressive Hilbertian processes with exogenous variables
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• scientific article; zbMATH DE number 5931621 (Why is no real title available?)
• scientific article; zbMATH DE number 952098 (Why is no real title available?)
• Spline estimation for partially linear autoregressive models with exogenous variables
• Spline estimation of partially linear regression models for time series with correlated errors
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors

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