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 …

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 …

This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time …

nonparametric sample covariances have different uniform convergence rates depending on direction, a result that differs …, we establish uniform consistency of nonparametric kernel estimators of the coefficient functions in nonlinear …

, the asymptotic distribution for the nonparametric estimator of the trend function is also established with a root …

nonparametric kernel methods. It is shown that the usual asymptotic methods of kernel estimation completely break down in this …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n … degenerate directions but is still super-consistent for nonparametric estimators. In addition, local linear methods are used to …