TITLE:
Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator
AUTHORS:
Zheng-Feng Guo, Lingyan Cao, Ying He
KEYWORDS:
Lag selection, FPE; Consistency, Additive Models
JOURNAL NAME:
Theoretical Economics Letters,
Vol.1 No.2,
August
16,
2011
ABSTRACT: 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.