Author(s)

Zheng-Feng Guo, Lingyan Cao, Ying He

.

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.

Lag selection, FPE; Consistency, Additive Models

Z. Guo, L. Cao and Y. He, "Nonparametric Lag Selection for Additive Models based on the Smooth Backfitting Estimator," Theoretical Economics Letters, Vol. 1 No. 2, 2011, pp. 15-17. doi: 10.4236/tel.2011.12004.