UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA

Dennis Kristensen

Econometric Theory, 2009, vol. 25, issue 5, 1433-1445

Abstract: The main uniform convergence results of Hansen (2008, Econometric Theory 24, 726–748) are generalized in two directions: Data are allowed to (a) be heterogeneously dependent and (b) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems involving time-inhomogeneous models and/or sampling of continuous-time processes. The usefulness of these results is demonstrated by two applications: kernel regression estimation of a time-varying AR(1) model and the kernel density estimation of a Markov chain that has not been initialized at its stationary distribution.

Date: 2009
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Working Paper: Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data (2008)
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