Nonparametric regression estimation in a null recurrent time series

摘要

We derive an asymptotic theory of nonparametric estimation for a time series regression model Z_t=f(X_t)+W_t, where {X_t} and {Z_t} are observed nonstationary processes, and {W_t} is an unobserved stationary process. The class of nonstationary processes allowed for {X_t} is a subclass of the class of null recurrent Markov chains. This subclass contains the random walk, unit root processes and nonlinear processes. The process {W_t} is assumed to be linear and stationary.