{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T17:13:08Z","timestamp":1790701988259,"version":"4.1.0"},"reference-count":37,"publisher":"Oxford University Press (OUP)","issue":"2","license":[{"start":{"date-parts":[[2004,4,14]],"date-time":"2004-04-14T00:00:00Z","timestamp":1081900800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/academic.oup.com\/journals\/pages\/open_access\/funder_policies\/chorus\/standard_publication_model"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2004,5,1]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Semiparametric time series regression is often used without checking its suitability, resulting in an unnecessarily complicated model. In practice, one may encounter computational difficulties caused by the curse of dimensionality. The paper suggests that to provide more precise predictions we need to choose the most significant regressors for both the parametric and the nonparametric time series components. We develop a novel cross-validation-based model selection procedure for the simultaneous choice of both the parametric and the nonparametric time series components, and we establish some asymptotic properties of the model selection procedure proposed. In addition, we demonstrate how to implement it by using both simulated and real examples. Our empirical studies show that the procedure works well.<\/jats:p>","DOI":"10.1111\/j.1369-7412.2004.05303.x","type":"journal-article","created":{"date-parts":[[2004,12,28]],"date-time":"2004-12-28T19:40:27Z","timestamp":1104262827000},"page":"321-336","source":"Crossref","is-referenced-by-count":20,"title":["Semiparametric Non-Linear Time Series Model Selection"],"prefix":"10.1093","volume":"66","author":[{"given":"Jiti","family":"Gao","sequence":"first","affiliation":[{"name":"University of Western Australia , Crawley , Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Howell","family":"Tong","sequence":"additional","affiliation":[{"name":"University of Hong Kong and London School of Economics and Political Science , UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2004,4,14]]},"reference":[{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"90","DOI":"10.1080\/01621459.1992.10475179","article-title":"Variable selection in nonparametric regression with categorical covariates","volume":"87","author":"Bickel","year":"1992","journal-title":"J. Am. Statist. Ass."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"369","DOI":"10.1093\/biomet\/82.2.369","article-title":"Additivity tests for nonlinear autoregression","volume":"82","author":"Chen","year":"1995","journal-title":"Biometrika"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"955","DOI":"10.1080\/01621459.1993.10476363","article-title":"Nonlinear additive ARX models","volume":"88","author":"Chen","year":"1993","journal-title":"J. Am. Statist. Ass."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"427","DOI":"10.1111\/j.2517-6161.1992.tb01890.x","article-title":"On consistent nonparametric order determination and chaos","volume":"54","author":"Cheng","year":"1992","journal-title":"J. R. Statist. Soc."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"183","DOI":"10.1007\/978-1-4899-4515-0_14","volume-title":"Developments in Time Series Analysis","author":"Cheng","year":"1993"},{"key":"2023040304310688400_","volume-title":"Local Polynomial Modelling and Its Applications","author":"Fan","year":"1996"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"521","DOI":"10.1111\/1467-9469.00118","article-title":"Semiparametric regression modelling of nonlinear time series","volume":"25","author":"Gao","year":"1998","journal-title":"Scand. J. Statist."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1016\/0167-7152(94)00091-L","article-title":"Asymptotic normality of pseudo-LS estimator for partially linear autoregressive models","volume":"23","author":"Gao","year":"1995","journal-title":"Statist. Probab. Lett."},{"key":"2023040304310688400_","volume-title":"Model selection in semiparametric time series regression","author":"Gao","year":"2002"},{"key":"2023040304310688400_","first-page":"409","article-title":"Adaptive series estimation in additive stochastic regression models","volume":"12","author":"Gao","year":"2002","journal-title":"Statist. Sin."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"324","DOI":"10.1006\/jmva.2001.2058","article-title":"Model specification tests in nonparametric stochastic regression models","volume":"83","author":"Gao","year":"2002","journal-title":"J. Multiv. Anal."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"571","DOI":"10.2307\/3315966","article-title":"Adaptive estimation in partially linear (semiparametric) autoregressive models","volume":"28","author":"Gao","year":"2000","journal-title":"Can. J. Statist."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-642-57700-0","volume-title":"Partially Linear Models","author":"H\u00e4rdle","year":"2000"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"49","DOI":"10.1111\/j.1751-5823.1997.tb00367.x","article-title":"A review of nonparametric time series analysis","volume":"65","author":"H\u00e4rdle","year":"1997","journal-title":"Int. Statist. Rev."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"81","DOI":"10.1016\/S0304-4149(96)00095-6","article-title":"Multivariate regression estimation\u2013local polynomial fitting for time series","volume":"65","author":"Masry","year":"1996","journal-title":"Stoch. Processes Appl."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"258","DOI":"10.1017\/S0266466600009166","article-title":"Nonparametric estimation and identification of nonlinear ARCH time series","volume":"11","author":"Masry","year":"1995","journal-title":"Econometr. Theory"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"214","DOI":"10.1017\/S0266466600005739","article-title":"Additive nonlinear ARX time series and projection estimates","volume":"13","author":"Masry","year":"1997","journal-title":"Econometr. Theory"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"486","DOI":"10.1080\/01621459.1993.10476299","article-title":"Linear model selection by cross-validation","volume":"88","author":"Shao","year":"1993","journal-title":"J. Am. Statist. Ass."},{"key":"2023040304310688400_","first-page":"221","article-title":"An asymptotic theory for linear model selection (with comments)","volume":"7","author":"Shao","year":"1997","journal-title":"Statist. Sin."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"119","DOI":"10.1016\/S0378-3758(98)00175-X","article-title":"Semiparametric regression model selections","volume":"77","author":"Shi","year":"1999","journal-title":"J. Statist. Planng Inf."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"44","DOI":"10.1111\/j.2517-6161.1977.tb01603.x","article-title":"An asymptotic equivalence of choice of model by cross-validation and Akaike's criterion","volume":"39","author":"Stone","year":"1977","journal-title":"J. R. Statist. Soc."},{"key":"2023040304310688400_","first-page":"2919","volume-title":"Handbook of Econometrics","author":"Ter\u00e4svirta","year":"1994"},{"key":"2023040304310688400_","first-page":"97","article-title":"Nonlinear time series: a selective review","volume":"21","author":"Tj\u00f8stheim","year":"1994","journal-title":"Scand. J. Statist."},{"key":"2023040304310688400_","first-page":"149","volume-title":"Asymptotics, Nonparametrics, and Time Series","author":"Tj\u00f8stheim","year":"1999"},{"key":"2023040304310688400_","first-page":"1398","article-title":"Nonparametric identification of nonlinear time series: projections","volume":"89","author":"Tj\u00f8stheim","year":"1994","journal-title":"J. Am. Statist. Ass."},{"key":"2023040304310688400_","first-page":"1410","article-title":"Nonparametric identification of nonlinear time series: selecting significant lags","volume":"89","author":"Tj\u00f8stheim","year":"1994","journal-title":"J. Am. Statist. Ass."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"493","DOI":"10.1109\/TIT.1976.1055572","article-title":"Fitting a smooth moving average to noisy data","volume":"26","author":"Tong","year":"1976","journal-title":"IEEE Trans. Inform. Theory"},{"key":"2023040304310688400_","volume-title":"Nonlinear Time Series","author":"Tong","year":"1990"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"457","DOI":"10.1111\/1467-9892.00193","article-title":"Nonparametric lag selection for time series","volume":"21","author":"Tschernig","year":"2000","journal-title":"J. Time Ser. Anal."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"575","DOI":"10.1016\/0167-9473(94)90149-X","article-title":"Choice of regressors in nonparametric estimation","volume":"17","author":"Vieu","year":"1994","journal-title":"Comput. Statist. Data Anal."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1080\/02331889508802499","article-title":"Order choice in nonlinear autoregressive models","volume":"26","author":"Vieu","year":"1995","journal-title":"Statistics"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1080\/02331880212857","article-title":"Data-driven model choice in multivariate nonparametric regression","volume":"36","author":"Vieu","year":"2002","journal-title":"Statistics"},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"363","DOI":"10.1111\/1467-9868.03411","article-title":"An adaptive estimation of dimension reduction space (with discussion)","volume":"64","author":"Xia","year":"2002","journal-title":"J. R. Statist. Soc."},{"key":"2023040304310688400_","first-page":"475","article-title":"Model selection for nonparametric regression","volume":"9","author":"Yang","year":"1999","journal-title":"Statist. Sin."},{"key":"2023040304310688400_","first-page":"51","article-title":"On subset selection in nonparametric stochastic regression","volume":"4","author":"Yao","year":"1994","journal-title":"Statist. Sin."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"1869","DOI":"10.1214\/aos\/1176348375","article-title":"Variable selection in nonparametric regression with continuous covariates","volume":"19","author":"Zhang","year":"1991","journal-title":"Ann. Statist."},{"key":"2023040304310688400_","doi-asserted-by":"crossref","first-page":"299","DOI":"10.1214\/aos\/1176349027","article-title":"Model selection via multifold cross-validation","volume":"21","author":"Zhang","year":"1993","journal-title":"Ann. Statist."}],"container-title":["Journal of the Royal Statistical Society Series B: Statistical Methodology"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2Fj.1369-7412.2004.05303.x","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/66\/2\/321\/49727590\/jrsssb_66_2_321.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"syndication"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/66\/2\/321\/49727590\/jrsssb_66_2_321.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,21]],"date-time":"2024-12-21T21:14:08Z","timestamp":1734815648000},"score":1,"resource":{"primary":{"URL":"https:\/\/academic.oup.com\/jrsssb\/article\/66\/2\/321\/7098427"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2004,4,14]]},"references-count":37,"journal-issue":{"issue":"2","published-online":{"date-parts":[[2004,4,14]]},"published-print":{"date-parts":[[2004,5,1]]}},"URL":"https:\/\/doi.org\/10.1111\/j.1369-7412.2004.05303.x","relation":{},"ISSN":["1369-7412","1467-9868"],"issn-type":[{"value":"1369-7412","type":"print"},{"value":"1467-9868","type":"electronic"}],"subject":[],"published-other":{"date-parts":[[2004,5]]},"published":{"date-parts":[[2004,4,14]]}}}