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%T Consistent estimation of a general nonparametric regression function in time series %A Linton, Oliver %A Sancetta, Alessio %J Journal of Econometrics %N 1 %P 70-78 %V 152 %D 2009 %K C12; Kernel; Time series %= 2011-03-18T10:23:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-233155 %X We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function E(Xt|Xt−1,Xt−2,…), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition. %C NLD %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info