ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY
نویسندگان
چکیده
منابع مشابه
Estimation in an Additive Model When the Components Are Linked Parametrically
Motivated by a nonparametric GARCH model we consider nonparametric additive autoregression models in the special case that the additive components are linked parametrically+We show that the parameter can be estimated with parametric rate and give the normal limit+ Our procedure is based on two steps+ In the first step nonparametric smoothers are used for the estimation of each additive componen...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2002
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466602184040