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UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES

Jiti Gao (), Shin Kanaya, Degui Li and Tjøstheim, Dag

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
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Related works:
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2013) Downloads
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2011) Downloads
Working Paper: Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series (2009) Downloads
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