Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61254
Authors: 
Karlsen, Hans Arnfinn
Tjostheim, Dag
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,50
Abstract: 
We develop a nonparametric estimation theory in a non-stationary environment, more precisely in the framework of null recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the times series under consideration in independent and identical parts. A tail condition on the distribution of the recurrence time is introduced. This condition makes it possible to prove weak convergence results for series of functions of the process depending on a smoothing parameter. These limit results are subsequently used to obtain consistency and asymptotic normality for local density estimators and for estimators of the conditional mean and the conditional variance. In contra-distinction to the parametric case, the convergence rate is slower than in the stationary case, and it is directly linked to the tail behaviour of the recurrence time.
Subjects: 
null recurrent Markov chain
nonparametric kernel estimators
Nonstationary time series models
split chain
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
481.68 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.