Gao, Jiti; Kanaya, Shin; Li, Degui; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2013
This paper establishes uniform consistency results for nonparametric kernel density and regression estimators when time series regressors concerned are nonstationary null recurrent Markov chains. Under suitable regularity conditions, we derive uniform convergence rates of the estimators. Our...
