Tjostheim, D. and Auestad, B. (TA) (1994) Nonparametric
identification of nonlinear time series: selecting significant lags.
Journal of the American Statistical Association 89, 1410-1419.
Tschernig, R. and Yang, L. (TY) (2000) Nonparametric
Lag Selection for Time Series,
Journal of Time Series Analysis,
forthcoming (http://www.blackwellpublishers.co.uk)
Yang, L. & Tschernig, R. (YT) (1999) Multivariate bandwidth
selection for local linear regression, Journal of the Royal Statistical
Society, Series B, 61, 793 - 815.
Usage: |
{ afpe,cafpe,wnsig2hatc,Ahat,resid } = fpefsv(xsj,yorig,hA,xtj,kernel,estimator,Bhat,Chat,perA,Ksqint,ntotal);
|
Input: |
| ATTENTION: | this quantlet requires to open locling.dll, density.dll (NT)
or locling.so, denc.so (UNIX). This can be done with the quantlet cafpeload or
directly with
garb = dlopen ("\locling.dll") on NT,
garb = dlopen ("/locling.so") on UNIX.
|
| xsj | (ny x d) matrix with explanatory variables for all dependenet observations
|
| yorig | (ny x 1) vector with dependent variable
|
| hA | scalar estimate of asymptotically optimal bandwidth or (d x 1) vector of bandwidth.
For the vector bandwidth only the residuals are computed while zeros are returned
for afpe,cafpe,wnsig2hatc
|
| xtj | (nx x d) matrix with values at which function has to be estimated
|
| kernel | character variable to select kind of kernel: "gaussian": Gaussian kernel
|
| estimator | character variable for selection nonparametric estimator
"loclin": local linear estimator; other estimators not
implemented
|
| Bhat | scalar, estimate of B as in TY, Section 3, YT, Section 3.4
|
| Chat | scalar, estimate of C as in TY, Section 2, YT, Section 3.4
|
| perA | scalar, parameter used for screening off 0 <= per_A <= 1 percent of the observations
with the lowest density for estimating A, see eq. (3.1) and Section 5 in TY or TA
|
| Ksqint | scalar, constant of kernel ||K||2^2 = integral of K(u)^2 du
|
| ntotal | scalar, number of observations for estimating B
|
Output: |
| afpe | scalar, local linear estimate of AFPE in TY, eq. (3.4),
for vector bandwidth a zero is returned
|
| cafpe | scalar, local linear estimate of CAFPE in TY, eq. (4.1)
for vector bandwidth a zero is returned
|
| wnsig2hatc | scalar, local linear estimate of A using eq. (3.3) in TY
for vector bandwidth a zero is returned
|
| Ahat | scalar, local linear estimate of A in TY, eq. (3.1)
|
| resid | (ny x 1) vector of estimated residuals
|