SFB 303 Discussion Paper No. B-332
Author: Cron, Axel
Title: Kernel Estimation in Regime-Varying Regression Models
Abstract: We analyze the asymptotic behaviour of kernel
estimators provided the underlying regression functions ( called regimes
here ) are time-dependent. We show the uniform convergence in probability of
the kernel estimators towards a Baire function that can be interpreted as a
weighted average of the different regimes. Moreover, we propose consistent
estimators for the different regimes for the case that the terms of the
regimes are known.
Keywords: Regime-varying regression models, kernel estimation,
nonparametric regression
JEL-Classification-Number: C14, C32
Creation-Date: October 1995
URL:
../1995/b/bonnsfb332.pdf
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