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Published online by Cambridge University Press:  03 November 2014

Jiti Gao*
Monash University
Shin Kanaya
University of Aarhus
Degui Li
University of York
Dag Tjøstheim
University of Bergen
*Address correspondence to Jiti Gao, Department of Econometrics and Business Statistics, Monash University, Caulfield East, VIC 3145, Australia; e-mail:


This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our results can be viewed as a nonstationary extension of some well-known uniform consistency results for stationary time series.

Copyright © Cambridge University Press 2014 

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