Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti GAO (), Degui Li and Dag Tjøstheim

No 13/11, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the proposed estimators. Our results can be viewed as an extension of some well-known uniform consistency results for the stationary time series case to the nonstationary time series case.

Keywords: β-null recurrent Markov chain; nonparametric estimation; rate of convergence; uniform consistency (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2011-09
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Related works:
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2009)
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