Nonparametric lag selection for nonlinear additive autoregressive models

DOI10.1016/J.ECONLET.2011.01.014zbMath1216.62057OpenAlexW1965274254MaRDI QIDQ547087

Zheng-Feng Guo, Mototsugu Shintani

Publication date: 30 June 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.01.014

zbMATH Keywords

additive modelsconsistent lag selectionfinal prediction errornonlinear autoregression

Mathematics Subject Classification ID

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

Related Items (2)

Lag selection and model specification testing in nonparametric autoregressive conditional heteroscedastic models ⋮ Automatic specification of piecewise linear additive models: application to forecasting natural gas demand

Cites Work

• The existence and asymptotic properties of a backfitting projection algorithm under weak conditions
• Integration and backfitting methods in additive models -- finite sample properties and comparison
• Fitting autoregressive models for prediction
• Nonparametric Lag Selection for Time Series
• Generalised structured models
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
• Smooth Backfitting in Practice
• A kernel method of estimating structured nonparametric regression based on marginal integration
• Additivity tests for nonlinear autoregression
• Finite sample performance of kernel-based regression methods for non-parametric additive models under common bandwidth selection criterion

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