LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
Local linear fitting is a popular nonparametric method in statistical and econometric modeling. Lu and Linton (<xref>2007</xref>, <italic>Econometric Theory</italic>23, 37–70) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this paper, we further investigate the uniform consistency of this estimator. The uniform strong and weak consistencies with convergence rates for the local linear fitting are established under mild conditions. Furthermore, general results regarding uniform convergence rates for nonparametric kernel-based estimators are provided. The results of this paper will be of wide potential interest in time series semiparametric modeling.
Year of publication: |
2012
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Authors: | Li, Degui ; Lu, Zudi ; Linton, Oliver |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 28.2012, 05, p. 935-958
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
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