Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates

Degui Li, Zudi Lu and Oliver Linton

No 16/11, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this paper, we further investigate the uniform consistency of this estimator. The uniform strong and weak consistencies with convergence rates for the local linear fitting are established under mild conditions. Furthermore, general results regarding uniform convergence rates for nonparametric kernel-based estimators are provided. The results of this paper will be of wide potential interest in time series semiparametric modelling.

Keywords: α-mixing; 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)
Pages: 23 pages
Date: 2011-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://business.monash.edu/econometrics-and-busine ... ions/ebs/wp16-11.pdf (application/pdf)

Related works:
Journal Article: LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES (2012)
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:msh:ebswps:2011-16

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().