Econometrics Paper

Nonparametric Estimation with Strongly Dependent Multivariate Time-Series - (Now published in 'Journal of Time Series Analysis',18 (1997)pp.95-122.)

Javier Hidalgo

Smooth nonparametric kernel density and regression estimators are studied when the data is strongly dependent. In particular, we derive Central (and Noncentral) Limit Theorems for the kernel density estimator of a multiv...Read more...