This paper presents a set of rate of uniform consistency results for kernel estimators of density functions and regressions functions. We generalize the existing literature by allowing for stationary strong mixing multivariate data with infinite support, kernels with unbounded support, and...

In the context of testing for a unit root in a univariate time series, the convention is to ignore information in related time series. This paper shows that this convention is quite costly, as large power gains can be achieved by including correlated stationary covariates in the regression equation.

This paper presents maximal inequalities and strong law of large numbers for weakly dependent heterogeneous random variables. Specifically considered are <italic>L</italic>^r mixingales for <italic>r</italic> 1, strong mixing sequences, and near epoch dependent (NED) sequences. We provide the first strong law for <italic>L</italic>^r-bounded <italic>L</italic>^r...

This paper investigates selection and averaging of linear regressions with a possible structural break. Our main contribution is the construction of a Mallows criterion for the structural break model. We show that the correct penalty term is nonstandard and depends on unknown parameters, but it...