Consistent estimation of a general nonparametric regression function in time series |
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| Authors: | Oliver Linton Alessio Sancetta |
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| Institution: | aDepartment of Economics, London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom;bFaculty of Economics, University of Cambridge, Sidgwick Avenue, Cambridge CB3 9DD, United Kingdom |
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| Abstract: | We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function  , where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition. |
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| Keywords: | Kernel Regression Time series |
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