Uniform nonparametric inference for time series

DOI10.1016/J.JECONOM.2019.09.011zbMATH Open1464.62386OpenAlexW3022151456MaRDI QIDQ2227073FDOQ2227073

Authors: Jia Li, Zhipeng Liao 

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.09.011

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zbMATH Keywords

specification teststrong approximationseries estimationuniform inferencemartingale differencemixingale

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (14)

• Wild bootstrap inference for instrumental variables regressions with weak and few clusters
• Nonparametric inference for ergodic, stationary time series
• Inference of the trend in a partially linear model with locally stationary regressors
• NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
• Uniform consistency for local fitting of time series non-parametric regression allowing for discrete-valued response
• Uniform Nonparametric Inference for Spatially Dependent Panel Data
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Functional estimation for time series: Uniform convergence properties
• Volatility coupling
• Inference in nonparametric series estimation with specification searches for the number of series terms
• The distribution of rolling regression estimators
• Time-varying multivariate causal processes
• A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
• Testing for Unobserved Heterogeneity via k-means Clustering

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