Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator

Zheng-Feng Guo, Lingyan Cao, Ying He

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DOI: 10.4236/tel.[phone]                

Abstract

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.

Keywords

Lag selection, FPE; Consistency, Additive Models

Conflicts of Interest

The authors declare no conflicts of interest.

References

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