Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
(2020)
Journal Article
Hong, S. Y., & Linton, O. (2020). Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. Journal of Econometrics, 219(2), 389-424. https://doi.org/10.1016/j.jeconom.2020.03.009
© 2020 Elsevier B.V. This paper studies nonparametric estimation of the infinite order regression E(Ytk|Ft−1), k∈Z with stationary and weakly dependent data. We propose a Nadaraya–Watson type estimator that operates with an infinite number of conditi... Read More about Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff.