Monash University
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Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series

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journal contribution
posted on 2022-11-04, 03:50 authored by Jiti Gao, Degui Li, Dag Tjøstheim
This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression estimators when the time series regressors concerned are nonstationary null-recurrent Markov chains. Under suitable conditions, certain rates of convergence are also obtained for the proposed estimators. Our results can be viewed as an extension of some well-known uniform consistency results for the stationary time series case to the nonstationary time series case.

History

Classification-JEL

C13, C14, C22

Creation date

2011-09

Working Paper Series Number

13/11

Length

32 pages

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2011-13

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