UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA

Nigel Chan and Qiying Wang ()

Econometric Theory, 2014, vol. 30, issue 5, 1110-1133

Abstract: Sharp upper and lower uniform bounds are established for a general class of functionals of integrated and fractionally integrated time series. The main result is used to develop optimal uniform convergence for the Nadaraya-Watson estimator and the local linear nonparametric estimator in a nonlinear cointegrating regression model. Unlike the point-wise situation, it is shown that the performance of the local linear nonparametric estimator is superior to that of the Nadaraya-Watson estimator in uniform asymptotics.

Date: 2014
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