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NONPARAMETRIC ESTIMATION OF ADDITIVE NONLINEAR ARX TIME SERIES: LOCAL LINEAR FITTING AND PROJECTIONS

Published online by Cambridge University Press:  01 August 2000

Zongwu Cai  and
Elias Masry
Zongwu Cai
Affiliation:
University of North Carolina at Charlotte
Elias Masry
Affiliation:
University of California at San Diego
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Abstract

We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ a local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection estimates of the additive components. Expressions for the asymptotic bias and variance are given.

Type
Research Article
Information
Econometric Theory , Volume 16 , Issue 4 , August 2000 , pp. 465 - 501
Copyright
© 2000 Cambridge University Press

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