Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series
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 nullÂ–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 wellÂ–known uniform consistency results for the stationary time series to the nonstationary time series case.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: Adelaide SA 5005|
Phone: (618) 8303 5540
Web page: http://www.economics.adelaide.edu.au/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jia Chen & Jiti Gao & Degui Li, 2009. "Semiparametric Regression Estimation in Null Recurrent Nonlinear Time Series," School of Economics Working Papers 2009-02, University of Adelaide, School of Economics.
- Wang, Qiying & Phillips, Peter C.B., 2009.
"Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression,"
Cambridge University Press, vol. 25(03), pages 710-738, June.
- Qiying Wang & Peter C.B. Phillips, 2006. "Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1594, Cowles Foundation for Research in Economics, Yale University.
- Roussas, George G., 1990. "Nonparametric regression estimation under mixing conditions," Stochastic Processes and their Applications, Elsevier, vol. 36(1), pages 107-116, October.
- Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June.
- Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
- Kristensen, Dennis, 2009.
"Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data,"
Cambridge University Press, vol. 25(05), pages 1433-1445, October.
- Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
- Hansen, Bruce E., 2008. "Uniform Convergence Rates For Kernel Estimation With Dependent Data," Econometric Theory, Cambridge University Press, vol. 24(03), pages 726-748, June.
- Bandi, Federico & Moloche, Guillermo, 2008. "On the functional estimation of multivariate diffusion processes," MPRA Paper 43681, University Library of Munich, Germany.
- Jiti Gao & Maxwell King & Zudi Lu & Dag TjÃ¸stheim, 2009.
"Nonparametric Specification Testing for Nonlinear Time Series with Nonstationarity,"
School of Economics Working Papers
2009-03, University of Adelaide, School of Economics.
- Gao, Jiti & King, Maxwell & Lu, Zudi & Tjøstheim, Dag, 2009. "Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1869-1892, December.
- Qiying Wang & Peter C. B. Phillips, 2009.
"Structural Nonparametric Cointegrating Regression,"
Econometric Society, vol. 77(6), pages 1901-1948, November.
- Peter C.B. Phillips & Joon Y. Park, 1998. "Nonstationary Density Estimation and Kernel Autoregression," Cowles Foundation Discussion Papers 1181, Cowles Foundation for Research in Economics, Yale University.
- Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013.
"Estimation in threshold autoregressive models with a stationary and a unit root regime,"
Journal of Econometrics,
Elsevier, vol. 172(1), pages 1-13.
- Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Monash Econometrics and Business Statistics Working Papers 21/11, Monash University, Department of Econometrics and Business Statistics.
- Chen, Jia & Li, Degui & Zhang, Lixin, 2010. "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 706-717, March.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
When requesting a correction, please mention this item's handle: RePEc:adl:wpaper:2009-26. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dmitriy Kvasov)
If references are entirely missing, you can add them using this form.