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

SFB 303 Homepage

17.02.1998, © Webmaster