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- W3152463339 abstract "We derive a local linear estimator of generalized impulse response (GIR) functions for nonlinear conditional heteroskedastic autoregressive processes and show its asymptotic normality. We suggest a plug-in bandwidth based on the derived asymptotically optimal bandwidth. A local linear estimator for the conditional variance function is proposed which has simpler bias than the standard estimator. This is achieved by appropriately eliminating the conditional mean. Alternatively to the direct local linear estimators of the k-step prediction functions which enter the GIR estimator we suggest to use multi-stage prediction techniques. In a small simulation experiment the latter estimator is found to perform best." @default.
- W3152463339 created "2021-04-13" @default.
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- W3152463339 date "2000-01-01" @default.
- W3152463339 modified "2023-10-16" @default.
- W3152463339 title "Nonparametric Estimation of Generalized Impulse Response Functions" @default.
- W3152463339 hasPublicationYear "2000" @default.
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