Uniform convergence for nonparametric estimators with nonstationary data

DOI10.1017/S026646661400005XMaRDI QIDQ6486646zbMATH OpenOpenAlexFDO

Authors Nigel Chan, Qiying Wang

Publication date 14 November 2014

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s026646661400005x

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

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Cited in

(20)

• Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression
• Universal kernel-type estimation of random fields
• A uniform law for convergence to the local times of linear fractional stable motions
• OPTIMAL BANDWIDTH SELECTION IN NONLINEAR COINTEGRATING REGRESSION
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Uniform convergence rates over maximal domains in structural nonparametric cointegrating regression
• Towards Insensitivity of Nadaraya--Watson Estimators to Design Correlation
• Uniform consistency for nonparametric estimators in null recurrent time series
• Nonparametric transformation regression with nonstationary data
• Model checks for nonlinear cointegrating regression
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Uniform convergence of sample second moments of families of time series arrays.
• Least squares estimation for nonlinear regression models with heteroscedasticity
• Uniform nonparametric inference for time series
• Nonlinear cointegrating power function regression with endogeneity
• Nonparametric cointegrating regression with endogeneity and long memory
• Local linear fitting under near epoch dependence: uniform consistency with convergence rates
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• On sufficient conditions for the consistency of local linear kernel estimators
• Uniform convergence of weighted sums of non and semiparametric residuals for estimation and testing

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