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UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA

Published online by Cambridge University Press:  25 April 2014

Nigel Chan  and
Qiying Wang
Nigel Chan
Affiliation:
School of Mathematics and Statistics, The University of Sydney
Qiying Wang*
Affiliation:
School of Mathematics and Statistics, The University of Sydney
*
*Address correspondence to Qiying Wang, School of Mathematics and Statistics, The University of Sydney, NSW 2006, Australia; e-mail: qiying@maths.usyd.edu.au.
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Abstract

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.

Type
ARTICLES
Information
Econometric Theory , Volume 30 , Issue 5 , October 2014 , pp. 1110 - 1133
Copyright
Copyright © Cambridge University Press 2014 

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