Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

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.

Number of Pages in PDF File: 22

Keywords: Null recurrent Markov chain, nonparametric estimation, rate of convergence, uniform consistency

JEL Classification: C14, C32

working papers series