Uniform nonparametric inference for time series

DOI10.1016/j.jeconom.2019.09.011zbMath1464.62386OpenAlexW3022151456MaRDI QIDQ2227073

Jia Li, Zhipeng Liao

Publication date: 9 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.09.011

zbMATH Keywords

strong approximationspecification testseries estimationuniform inferencemartingale differencemixingale

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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