Nonparametric transfer function models

DOI10.1016/j.jeconom.2009.10.029zbMath1431.62400OpenAlexW2000363231WikidataQ42735247 ScholiaQ42735247MaRDI QIDQ530984

Yong-Cai Geng, Sumit K. Garg

Publication date: 1 August 2016

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

Full work available at URL: http://eprints.lse.ac.uk/28868/

zbMATH Keywords

time seriestransfer functionnonparametric smoothing

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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