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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Jiti GAO and
Degui Li Dag Tjøstheim
Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics
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
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Downloads: (external link) http://www.buseco.monash.edu.au/ebs/pubs/wpapers/2011/wp13-11.pdf (application/pdf)
Related works: Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2009) This item may be available elsewhere in EconPapers: Search for items with the same title.
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