Summary This paper presents a multiplicative nonstationary nonparametric regression model which allows for a broad class of nonstationary processes. We propose a three-step estimation procedure to uncover the conditional mean function and establish uniform convergence rates and asymptotic normality of our estimators. The new model can also be seen as a dimension-reduction technique for a general two-dimensional time-varying nonparametric regression model, which is especially useful in small samples and for estimating explicitly multiplicative structural models. We consider two applications: estimating a pricing equation for the US aggregate economy to model consumption growth and estimating the shape of the monthly risk premium for S&P 500 Index data.

中文翻译：

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具有乘法结构的非平稳非参数回归模型的估计

总结 本文提出了一种乘法非平稳非参数回归模型，该模型允许广泛的非平稳过程。我们提出了一个三步估计程序来揭示条件均值函数并建立我们估计器的统一收敛速度和渐近正态性。新模型也可以看作是一般二维时变非参数回归模型的降维技术，在小样本和显式地估计乘法结构模型时特别有用。我们考虑两个应用：估计美国总体经济的定价方程以模拟消费增长，以及估计标准普尔 500 指数数据的每月风险溢价的形状。