We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel...

For over a decade, nonparametric modelling has been successfully applied to study nonlinear structures in financial time series. It is well known that the usual nonparametric models often have less than satisfactory performance when dealing with more than one lag. When the mean has an additive...

A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...

We develop inference tools in a semiparametric regression model with missing response data. A semiparametric regression imputation estimator and an empirical likelihood based one for the mean of the response variable are defined. Both the estimators are proved to be asymptotically normal, with...

Additive modelling has been widely used in nonparametric regression to circumvent the "curse of dimensionality", by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...

Additive modelling is known to be useful for multivariate nonparametric regression as it reduces the complexity of problem to the level of univariate regression. This usefulness could be compromised if the data set was contaminated by outliers whose detection and removal are particularly...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...