Consistent estimation of a general nonparametric regression function in time series

DOI10.1016/j.jeconom.2009.02.006zbMath1431.62398OpenAlexW2010870921MaRDI QIDQ2628866

Alessio Sancetta, Oliver B. Linton

Publication date: 18 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.02.006

zbMATH Keywords

time serieskernelregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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