Simultaneous inference for time-varying models

DOI10.1016/j.jeconom.2021.03.002OpenAlexW3143236546MaRDI QIDQ2116345

Yanyan Li

Publication date: 16 March 2022

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

Full work available at URL: https://arxiv.org/abs/2011.13157

zbMATH Keywords

bootstrapgeneralized linear modelsGaussian approximationsimultaneous confidence bandtime-series modelstime-varying regression

Mathematics Subject Classification ID

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

Related Items (6)

Bayesian modelling of time-varying conditional heteroscedasticity ⋮ Time-varying multivariate causal processes ⋮ Autoregressive approximations to nonstationary time series with inference and applications ⋮ A bootstrap functional central limit theorem for time-varying linear processes ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ Inverse covariance operators of multivariate nonstationary time series

Uses Software

• fda (R)

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