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Local constant kernel estimation of a partially linear varying coeefficient cointegration model
Wang, Luya; Liang, Zhongwen; Lin, Juan; Li, Qi - In: Annals of economics and finance 16 (2015) 2, pp. 353-369
Persistent link: https://www.econbiz.de/10011428164
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Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard; Seo, Won-Ki; Seong, Dakyung - 2019
We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …
Persistent link: https://www.econbiz.de/10012183480
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The distribution of rolling regression estimators
Cai, Zongwu; Juhl, Ted - 2022
Persistent link: https://www.econbiz.de/10014280636
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The distribution of rolling regression estimators
Cai, Zongwu; Juhl, Ted - In: Journal of econometrics 235 (2023) 2, pp. 1447-1463
Persistent link: https://www.econbiz.de/10014471400
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A unified theory for ARMA models with varying coefficients : one solution fits all
Karanasos, Menelaos; Paraskevopoulos, Athanasios; … - 2024
Persistent link: https://www.econbiz.de/10015046279