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    Local linear fitting under near epoch dependence

    117795_6021_ECT-Lu-Linton.pdf (334.1Kb)
    Access Status
    Open access
    Authors
    Lu, Zudi
    Linton, O.
    Date
    2007
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Lu, Zudi and Linton, Oliver. 2007. Local linear fitting under near epoch dependence. Econometric Theory 23: pp. 37-70.
    Source Title
    Econometric Theory
    DOI
    10.1017/S0266466607070028
    ISSN
    0266-4666
    Faculty
    School of Science and Computing
    Department of Mathematics and Statistics
    Faculty of Science and Engineering
    Remarks

    © Cambridge University Press 2007

    URI
    http://hdl.handle.net/20.500.11937/39409
    Collection
    • Curtin Research Publications
    Abstract

    Local linear fitting of nonlinear processes under strong (i.e., alpha-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving average (ARMA) and generalized autoregressive conditionally heteroskedastic (GARCH) models. In this paper we develop an asymptotic theory of local linear fitting for near epoch dependent(NED) processes. We establish the pointwise asymptotic normality of the local linear kernel estimators under some restrictions on the amount of dependence. Simulations and application examples illustrate that the proposed approach can work quite well for the medium size of economic time series.

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