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Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator
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Theoretical Economics Letters·Volume 01 (2011)·Pages 15–17·Published 16 August 2011·DOI10.4236/tel.2011.12004
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Abstract
This paper proposes a nonparametric FPE-like procedure based on the smooth backfitting estimator when the additive structure is a priori known. This procedure can be expected to perform well because of its well-known finite sample performance of the smooth backfitting estimator. Consistency of our procedure is established under very general conditions, including heteroskedasticity.
KeywordsLag selectionFPEConsistencyAdditive Models
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