Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
Monash University - Department of Econometrics & Business Statistics
University of Adelaide - School of Economics
University of Bergen - Department of Mathematics
September 15, 2010
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, C32working papers series
Date posted: September 18, 2010
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