Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local … constant estimator. In this paper, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time …-varying coefficients in time series models. We establish a large sample theory for the proposed bandwidth estimator and Bayesian estimators …

This paper establishes a suite of uniform consistency results for nonparametric kernel density and regression …

component of the model, but also obtain an asymptotically normal distribution for the nonparametric local linear estimator of …

Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007 …) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the …. Furthermore, general results regarding uniform convergence rates for nonparametric kernel-based estimators are provided. The …

vector and the nonparametric time trend function. As both the time series length T and the cross-sectional size N tend to … Op(NT)^{-1/2}. Meanwhile, the asymptotic distribution for the estimator of the nonparametric trend function is also …

Since conventional cross-validation bandwidth selection methods do not work for the case where the data considered are … serially dependent, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth … selection methods have been proposed. Our experience shows that the use of a global bandwidth is however less suitable than …