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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
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Publication details
| Journal | Econometric Theory |
|---|---|
| Date | E-pub ahead of print - 3 Nov 2014 |
| Date | Published (current) - 2015 |
| Issue number | 5 |
| Volume | 31 |
| Number of pages | 42 |
| Pages (from-to) | 911-952 |
| Early online date | 3/11/14 |
| Original language | English |
Abstract
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our results can be viewed as a nonstationary extension of some well-known uniform consistency results for stationary time series.
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