UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA

被引：36

作者：

Kristensen, Dennis ^{[1
]}

机构：

[1] Columbia Univ, Dept Econ, New York, NY 10027 USA

来源：

ECONOMETRIC THEORY | 2009年 / 25卷 / 05期

关键词：

NONPARAMETRIC-ESTIMATION; SEMIPARAMETRIC ESTIMATION; MODELS;

D O I：

10.1017/S0266466609090744

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The main uniform convergence results of Hansen (2008, Econometric Theory 24, 726-748) are generalized in two directions: Data are allowed to (a) be heterogeneously dependent and (b) depend on a (possibly unbounded) parameter. These results are useful in semiparametric estimation problems involving time-inhomogeneous models and/or sampling of continuous-time processes. The usefulness of these results is demonstrated by two applications: kernel regression estimation of a time-varying AR(1) model and the kernel density estimation of a Markov chain that has not been initialized at its stationary distribution.

引用

页码：1433 / 1445

页数：13

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