Local Linear Fitting Under Near Epoch Dependence: Uniform Consistency with Convergence Rates

Local linear fitting is a popular nonparametric method in statistical and econometric modelling. Lu and Linton (2007) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this paper, we further investigate the uniform consistency of this estimator. The uniform strong and weak consistencies with convergence rates for the local linear fitting are established under mild conditions. Furthermore, general results regarding uniform convergence rates for nonparamet-ric kernel–based estimators are provided. The results of this paper will be of wide potential interest in time series semiparametric modelling.