TEL  Vol.1 No.2 , August 2011
Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator
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.

Cite this paper
nullZ. Guo, L. Cao and Y. He, "Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator," Theoretical Economics Letters, Vol. 1 No. 2, 2011, pp. 15-17. doi: 10.4236/tel.2011.12004.
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