Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate

Degui Li, Oliver Linton and Zudi Lu

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: Local linear fitting is a popular nonparametric method in nonlinear statistical andeconometric modelling. Lu and Linton (2007) established the point wise asymptoticdistribution (central limit theorem) for the local linear estimator of nonparametricregression function under the condition of near epoch dependence. We furtherinvestigate the uniform consistency of this estimator. The uniformly strong andweak consistencies with convergence rates for the local linear fitting areestablished under mild conditions. Furthermore, general results of uniformconvergence rates for nonparametric kernel-based estimators are provided.Applications of our results to conditional variance function estimation and someeconomic time series models are also discussed. The results of this paper will beof widely potential interest in time series semiparametric modelling.

Keywords: local linear fitting; near epoch dependence; convergence rates; uniform consistency. (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 (search for similar items in EconPapers)
Date: 2010-08
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Working Paper: Loch linear fitting under near epoch dependence: uniform consistency with convergence rate (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:549

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