Time-varying multivariate causal processes

DOI10.1016/j.jeconom.2024.105671arXiv2206.00409OpenAlexW4391123216WikidataQ129631919 ScholiaQ129631919MaRDI QIDQ6118719

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Publication date: 21 March 2024

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

Full work available at URL: https://arxiv.org/abs/2206.00409

zbMATH Keywords

uniform confidence bandlocal linear quasi-maximum likelihood estimationmultivariate causal process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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