Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

Jiti Gao, Degui Li and Dag Tjostheim
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Dag Tjostheim: The University of Bergen

No 2009-26, School of Economics and Public Policy Working Papers from University of Adelaide, School of Economics and Public Policy

Abstract: This paper establishes several results for uniform convergence of nonparametric kernel density and regression estimates for the case where the time series regressors concerned are nonstationary null–recurrent Markov chains. Under suitable conditions, certain rates of convergence are also established for these estimates. Our results can be viewed as an extension of some well–known uniform consistency results for the stationary time series to the nonstationary time series case.

Keywords: beta–null recurrent Markov chain; nonparametric estimation; rate of convergence, uniform consistency (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009
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Citations: View citations in EconPapers (2)

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https://media.adelaide.edu.au/economics/papers/doc/wp2009-26.pdf 2009 (application/pdf)

Related works:
Journal Article: UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES (2015)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:adl:wpaper:2009-26

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