Uniform nonparametric inference for time series

• Main Authors: LI, Jia, LIAO, Zhipeng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Martingale difference; Mixingale Series estimation; Specification test; Strong approximation; Uniform inference; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2589; https://ink.library.smu.edu.sg/context/soe_research/article/3588/viewcontent/strongcombined_sv.pdf
• Institution: Singapore Management University

This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asympto...