Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression
联合及条件数据生成过程与向量自回归的非参数时间序列估计
In this paper we develop nonparametric estimators of the joint time series data generating process (DGP) of ( x t , y t ) at different t -values, of conditional DGP, of the conditional mean of x t given the past values of x and y , and, more generally, the conditional mean of ( x t , y t ) given their past values (vector autoregression). We establish, among other results, the central limit theorems for these estimators under far weaker mixing conditions than those used in…