Nonparametric lag selection for nonlinear additive autoregressive models

被引：2

作者：

Guo, Zheng-Feng ^{[2
]}

Shintani, Mototsugu ^{[1
]}

机构：

[1] Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA

[2] Int Monetary Fund, Washington, DC 20431 USA

来源：

ECONOMICS LETTERS | 2011年 / 111卷 / 02期

关键词：

Additive models; Consistent lag selection; Final prediction error; Nonlinear autoregression; Nonparametric regression; TIME-SERIES; INTEGRATION;

D O I：

10.1016/j.econlet.2011.01.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The lag selection procedure based on the final prediction error (FPE) is investigated when the additive structure is a priori known in the nonparametric autoregression. The consistency of the lag selection is proved, followed by the finite sample simulation results. (C) 2011 Elsevier B.V. All rights reserved.

引用

收藏

页码：131 / 134

页数：4

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