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UNIFORM CONSISTENCY FOR NONPARAMETRIC ESTIMATORS IN NULL RECURRENT TIME SERIES

Published online by Cambridge University Press:  03 November 2014

Jiti Gao ,
Shin Kanaya ,
Degui Li  and
Dag Tjøstheim
Jiti Gao*
Affiliation:
Monash University
Shin Kanaya
Affiliation:
University of Aarhus
Degui Li
Affiliation:
University of York
Dag Tjøstheim
Affiliation:
University of Bergen
*
*Address correspondence to Jiti Gao, Department of Econometrics and Business Statistics, Monash University, Caulfield East, VIC 3145, Australia; e-mail: [email protected].
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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.

Type
ARTICLES
Information
Econometric Theory , Volume 31 , Issue 5 , October 2015 , pp. 911 - 952
Copyright
Copyright © Cambridge University Press 2014 

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