Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288
This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...