mlrv

MaRDI QIDQ5978585CRANFDO

Authors Lujia Bai

Last update 2 April 2026

Copyright license MIT license, File License

Software version identifier 0.1.0, 0.1.1, PACKAGES.rds, 0.1.1, 0.1.2

Description

Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression. Lujia Bai and Weichi Wu (2024)<doi:10.3150/23-BEJ1680> Zhou Zhou and Wei Biao Wu(2010)<doi:10.1111/j.1467-9868.2010.00743.x> Jianqing Fan and Wenyang Zhang<doi:10.1214/aos/1017939139> Lujia Bai and Weichi Wu(2024)<doi:10.1093/biomet/asae013> Dimitris N. Politis, Joseph P. Romano, Michael Wolf(1999)<doi:10.1007/978-1-4612-1554-7> Weichi Wu and Zhou Zhou(2018)<doi:10.1214/17-AOS1582>.

Cites work

• Detecting long-range dependence for time-varying linear models
• Difference-based covariance matrix estimation in time series nonparametric regression with application to specification tests
• Gradient-based structural change detection for nonstationary time series M-estimation
• Simultaneous inference of linear models with time varying coefficients
• Statistical estimation in varying coefficient models
• Subsampling

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