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UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

  • Bruce E. Hansen (a1)
  • DOI: http://dx.doi.org/10.1017/S0266466608080304
  • Published online: 01 February 2008
Abstract

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 general bandwidth sequences. These results are useful for semiparametric estimation based on a first-stage nonparametric estimator.

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Corresponding author
Address correspondence to Bruce E. Hansen, Department of Economics, University of Wisconsin, 1180 Observatory Drive, Madison, WI 53706-1393, USA; e-mail: bhansen@ssc.wisc.edu.
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Econometric Theory
  • ISSN: 0266-4666
  • EISSN: 1469-4360
  • URL: /core/journals/econometric-theory
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