Linton, Oliver; Sancetta, Alessio - In: Journal of Econometrics 152 (2009) 1, pp. 70-78
We propose an estimator of the conditional distribution of XtXt-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.