Kernel dependent functions in nonparametric regression with fractional time series errors

Feng, Yuanhua

Kernel dependent functions in nonparametric regression with fractional time series errors

Dateien

03-02.pdfGröße: 224.48 KBDownloads: 103

Datum

2003

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

This paper considers estimation of the regression function and its derivatives in nonparametric regression with fractional time series errors. We focus on investigating the properties of a kernel dependent function V (delta) in the asymptotic variance and finding closed form formula of it, where delta is the long-memory parameter. - General solution of V (delta) for polynomial kernels is given together with a few examples. It is also found, e.g. that the Uniform kernel is no longer the minimum variance one by strongly antipersistent errors and that, for a fourth order kernel, V (delta) at some delta > 0 is clearly smaller than R(K). The results are used to develop a general data-driven algorithm. Data examples illustrate the practical relevance of the approach and the performance of the algorithm.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Nonparametric regression, long memory, antipersistence, fractional difference, kernel dependent function, bandwidth selection

Zitieren

ISO 690

FENG, Yuanhua, 2003. Kernel dependent functions in nonparametric regression with fractional time series errors

BibTex

@techreport{Feng2003Kerne-11969,
  year={2003},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Kernel dependent functions in nonparametric regression with fractional time series errors},
  number={2003/02},
  author={Feng, Yuanhua}
}

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