UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA

被引：15

作者：

Chan, Nigel ^{[1
]}

Wang, Qiying ^{[1
]}

机构：

[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

来源：

ECONOMETRIC THEORY | 2014年 / 30卷 / 05期

基金：

澳大利亚研究理事会;

关键词：

TIME-SERIES; ASYMPTOTIC THEORY; LOCAL TIME; MARTINGALES; REGRESSION; RATES;

D O I：

10.1017/S026646661400005X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Sharp upper and lower uniform bounds are established for a general class of functionals of integrated and fractionally integrated time series. The main result is used to develop optimal uniform convergence for the Nadaraya-Watson estimator and the local linear nonparametric estimator in a nonlinear cointegrating regression model. Unlike the point-wise situation, it is shown that the performance of the local linear nonparametric estimator is superior to that of the Nadaraya-Watson estimator in uniform asymptotics.

引用

页码：1110 / 1133

页数：24

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