The consistency of model selection for dynamic Semi-varying coefficient models with autocorrelated errors

DOI10.1080/03610926.2017.1414265OpenAlexW2782501232MaRDI QIDQ5078260

Lei Huang, Hui Jiang, Haitao Tian

Publication date: 23 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1414265

zbMATH Keywords

BICspectral density functionWhittle likelihoodARMA errorslag variable

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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