activity
20132022
most citedOptimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

143 citations · 364 across the 13 of their papers we have counts for

collaborators
Showing 2014Show all

2 papers · 1 filter

math.ST2014★ 143 cited

Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Xiaohong Chen, Timothy Christensen

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate of…

stat.ME2014★ 54 cited

Nonparametric Stochastic Discount Factor Decomposition

Timothy Christensen

Stochastic discount factor (SDF) processes in dynamic economies admit a permanent-transitory decomposition in which the permanent component characterizes pricing over long investme…