Article citationsMore>>

B. Cheng and H. Tong, “On Consistent Nonparametric Order Determination and Chaos,” Journal of the Royal Statistical Society series B (Methodological), Vol. 54, No. 2. 1992, pp. 427-449.

has been cited by the following article:

• 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.