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Keyword: time series regression;

5 results found.

Econometrics Paper

Nonparametric Transformation to White Noise

Oliver Linton and Enno Mammen

We consider a semiparametric distributed lag model in which the “news impact curve” m is nonparametric but the response is dynamic through some linear filters. A special case of this is a nonparametric regression with se...Read more...

August 2006

Econometrics Paper

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We intro...Read more...

May 2003

Econometrics Paper

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

Oliver Linton and Mototsugu Shintani

This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an op...Read more...

March 2002

Econometrics Paper

Adapting to Unknown Disturbance Autocorrelation in Regression with Long Memory

Javier Hidalgo and Peter M Robinson

We show that it is possible to adapt to nonparametric disturbance auto-correlation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum e...Read more...

September 2001

Econometrics Paper

Deletion Diagnostics and Transformations for Time Series

A.C. Atkinson and N.G. Shephard

Deletion diagnostics are developed for structural time series models. These show the effect of the deletion of individual observations on residuals and on the estimates of regression parameters. The methods are extended ...Read more...

1992