Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is the n...

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Bibliographic Details
Main Authors: Biqing Cai, Dag Tjøstheim
Format: Article
Language:English
Published: MDPI AG 2015-04-01
Series:Econometrics
Subjects:
β-null recurrent
cointegration
conditional heteroscedasticity
Markov chain
nonparametric regression
Online Access:http://www.mdpi.com/2225-1146/3/2/265

Internet

http://www.mdpi.com/2225-1146/3/2/265

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