Bruce E. Hansen

"Uniform Convergence Rates for Kernel Estimation with Dependent Data"

Econometric Theory (2008) 24, 726-748.


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, and 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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Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.