Semiparametric model building for regression models with time-varying parameters
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Publication:494386
DOI10.1016/j.jeconom.2015.02.021zbMath1337.62386MaRDI QIDQ494386
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.021
nonstationary processes; information criterion; time-varying coefficient models; penalization methods; semiparametric variable selection
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