Semiparametric Estimation and Prediction for Time Series Cross Sectional Data

Olaf Bunke
This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on an adaptive semiparametric regression estimate depending on the observations from an adaptive running time window. The adaptation consists in the selection of the length (or horizon) of such a window together with...
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