Econometric Theory

Research Article

UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Bruce E. Hansena1 c1

a1 University of Wisconsin

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.

Correspondence

c1 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.

Footnotes

This research was supported by the National Science Foundation. I thank three referees and Oliver Linton for helpful comments.

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