UNIFORM CONVERGENCE FOR NONPARAMETRIC ESTIMATORS WITH NONSTATIONARY DATA. (25th April 2014)

• Record Type: Journal Article
• Authors: Chan, Nigel; Wang, Qiying
• Is Part Of: Econometric theory. Volume 30:Number 5(2014:Oct.)
• Page Start: 1110
• Page End: 1133
• Publication Date: 2014-04-25
• Subjects: Econometrics -- Periodicals; 330.01519505
• DOI: 10.1017/S026646661400005X
• Languages: English
• ISSNs: 0266-4666

Abstract

<abstract abstract-type="normal"> <title> <x content-type="archive" xml:space="preserve">Abstract</x> </title> <p>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.</p> </abstract>