UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES

Jiti Gao, Shin Kanaya, Degui Li and Dag Tjøstheim

Econometric Theory, 2015, vol. 31, issue 5, 911-952

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

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2013)
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2011)
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.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:31:y:2015:i:05:p:911-952_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().