arXiv 20 May 2020 · Econometrics
arXiv:2005.09951 · PDF · DOI · OpenAlex · Extracted main text
This paper provides new uniform rate results for kernel estimators of absolutely regular stationary processes that are uniform in the bandwidth and in infinite-dimensional classes of dependent variables and regressors. Our results are useful for establishing asymptotic theory for two-step semiparametric estimators in time series models. We apply our results to obtain nonparametric estimates and their rates for Expected Shortfall processes.
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| 1 | A maximal inequality for local empirical processes under weak dependence | 0.511 | 2 | 1 |