Inference on stochastic time-varying coefficient models

DOI10.1016/j.jeconom.2013.10.009zbMath1293.62184OpenAlexW2039982886MaRDI QIDQ2512638

T. L. Yates, George Kapetanios, Liudas Giraitis

Publication date: 7 August 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.10.009

zbMATH Keywords

kernel estimationrandom coefficient modelsautoregressive processesnonparametric estimationtime-varying coefficient models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistical methods; economic indices and measures (91B82)

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