Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097243 | Journal of Econometrics | 2009 | 9 Pages |
Abstract
We propose an estimator of the conditional distribution of Xt|Xtâ1,Xtâ2,â¦, and the corresponding regression function E(Xt|Xtâ1,Xtâ2,â¦), where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Oliver Linton, Alessio Sancetta,