Estimation and inference in adaptive learning models with slowly decreasing gains

DOI10.1111/JTSA.12636MaRDI QIDQ6134627zbMATH OpenOpenAlexFDO

Authors

Publication date 22 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12636

zbMATH Keywords

strong mixingrational expectationsadaptive learningco-integrationnon-stationary regressionasymptotic collinearity(generalized) Wald-statisticdegenerate variances

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Ergodicity, mixing, rates of mixing (37A25) Inference from stochastic processes (62Mxx)

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Cited in

(1)

• Two-step estimation in linear regressions with adaptive learning

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