Phillips, Peter C.B.; Park, Joon Y. - Cowles Foundation for Research in Economics, Yale University - 1998
An asymptotic theory is developed for the kernel density estimate of a random walk and the kernel regression estimator … and in part by initial conditions. The kernel regression estimator is shown to be consistent and to have a mixed normal … with the sample size n, in contrast to the case of a stationary autoregression. However, the convergence rate of the kernel …