Nonparametric density forecast based on time- and state-domain

Authors

  • João Nicolau

    Corresponding author
    1. School of Economics and Management (ISEG)/Technical University of Lisbon (UTL) and CEMAPRE, Lisbon, Portugal
    • School of Economics and Management (ISEG)/Technical University of Lisbon (UTL) and CEMAPRE, ISEG, Rua do Quelhas 6, 1200-781 Lisbon, Portugal
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Abstract

We propose a new nonparametric density forecast based on time- and state-domain smoothing. We analyze some of its asymptotic properties and provide an empirical illustration. Copyright © 2010 John Wiley & Sons, Ltd.

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