Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61777
Authors: 
Carroll, Raymond J.
Härdle, Wolfgang
Mammen, Enno
Year of Publication: 
1999
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,1
Abstract: 
Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure is based on two steps. In the first step nonparametric smoothers are used for the estimation of each additive component without taking into account the parametric link of the functions. In a second step the parameter is estimated by using the parametric restriction between the additive components. Interestingly, our method needs no undersmoothing in the first step.
Subjects: 
Finance
Nonparametric Regression
Additive Models
Asymptotics
Autoregression
GARCH Models
Measurement Error
Time Series
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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