Uniform consistency of nonstationary kernel-weighted sample covariances for nonparametric regression

• Main Authors: LI, Degui, Peter C. B. PHILLIPS, GAO, Jiti
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Cointegration; Functional coefficients; Kernel degeneracy; Nonparametric kernel smoothing; Random coordinate rotation; Super-consistency; Uniform convergence rates; Time varying coefficients; Growth and Development
• Online Access: https://ink.library.smu.edu.sg/soe_research/1944; https://ink.library.smu.edu.sg/context/soe_research/article/2943/viewcontent/UniformConsistencyNonStationaryKernel_2013_pp.pdf
• Institution: Singapore Management University

We obtain uniform consistency results for kernel-weighted sample covariances in a nonstationary multiple regression framework that allows for both fixed design and random design coefficient variation. In the fixed design case these nonparametric sample covariances have different uniform asymptotic r...