Inference on stochastic time-varying coefficient models
From MaRDI portal
Publication:2512638
DOI10.1016/j.jeconom.2013.10.009zbMath1293.62184MaRDI 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
kernel estimation; random coefficient models; autoregressive processes; nonparametric estimation; time-varying coefficient models
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
91B82: Statistical methods; economic indices and measures
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