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

36 Pages Posted: 30 Nov 2010

See all articles by Degui Li

Degui Li

University of Adelaide - School of Economics

Oliver B. Linton

University of Cambridge

Zudi Lu

affiliation not provided to SSRN

Date Written: August 2010

Abstract

Local linear fitting is a popular nonparametric method in nonlinear statistical and econometric modelling. Lu and Linton (2007) established the point wise asymptotic distribution (central limit theorem) for the local linear estimator of nonparametric regression function under the condition of near epoch dependence. We further investigate the uniform consistency of this estimator. The uniformly strong and weak consistencies with convergence rates for the local linear fitting are established under mild conditions. Furthermore, general results of uniform convergence rates for nonparametric kernel-based estimators are provided. Applications of our results to conditional variance function estimation and some economic time series models are also discussed. The results of this paper will be of widely potential interest in time series semiparametric modelling.

JEL Classification: C13, C14, C22

Suggested Citation

Li, Degui and Linton, Oliver B. and Lu, Zudi, Loch Linear Fitting Under Near Epoch Dependence: Uniform Consistency with Convergence Rate (August 2010). LSE STICERD Research Paper No. EM549, Available at SSRN: https://ssrn.com/abstract=1717441

Degui Li (Contact Author)

University of Adelaide - School of Economics ( email )

No 233 North Terrace, School of Commerce
Adelaide, South Australia 5005
Australia

Oliver B. Linton

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Zudi Lu

affiliation not provided to SSRN

No Address Available

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