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Consistent estimation of a general nonparametric regression function in time series

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We propose an estimator of the conditional distribution of Xt|Xt−1,Xt−2,…, and the corresponding regression function where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.

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en

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http://eprints.lse.ac.uk/30259/

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