Nonparametric Lag Selection for Additive Models Based on the Smooth Backfitting Estimator
نویسندگان
چکیده
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.
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