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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
24 articles.
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