Estimation and inference in adaptive learning models with slowly decreasing gains
DOI10.1111/JTSA.12636OpenAlexW3216775823MaRDI QIDQ6134627FDOQ6134627
Authors:
Publication date: 22 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12636
strong mixingrational expectationsadaptive learningco-integrationnon-stationary regressionasymptotic collinearity(generalized) Wald-statisticdegenerate variances
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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