NONPARAMETRIC-ESTIMATION AND IDENTIFICATION OF NONLINEAR ARCH TIME-SERIES - STRONG-CONVERGENCE AND ASYMPTOTIC NORMALITY - STRONG-CONVERGENCE AND ASYMPTOTIC NORMALITY

Authors
MASRY E TJOSTHEIM D
Citation
E. Masry et D. Tjostheim, NONPARAMETRIC-ESTIMATION AND IDENTIFICATION OF NONLINEAR ARCH TIME-SERIES - STRONG-CONVERGENCE AND ASYMPTOTIC NORMALITY - STRONG-CONVERGENCE AND ASYMPTOTIC NORMALITY, Econometric theory, 11(2), 1995, pp. 258-289
Citations number
32
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
11
Issue
2
Year of publication
1995
Pages
258 - 289
Database
ISI
SICI code
0266-4666(1995)11:2<258:NAIONA>2.0.ZU;2-A
Abstract
We consider the estimation and identification of the functional struct ures of nonlinear econometric systems of the ARCH type. We employ nonp arametric kernel estimates for the nonlinear functions characterizing the Systems, and we establish strong consistency along with sharp rate s of convergence under mild regularity conditions. We also prove the a symptotic normality of the estimates.