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Nonparametric estimation of nonlinear rational expectation models

✍ Scribed by Stanislav Anatolyev

Book ID
117333352
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
86 KB
Volume
62
Category
Article
ISSN
0165-1765

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We estimate the mean function and the conditional variance (the volatility function) of a nonlinear ÿrst-order autoregressive model nonparametrically. Minimax rates of convergence are established over a scale of Besov bodies Bspq and a range of global L p error measurements, for 16p ‘ ∞. We propose