Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models

DOI10.1111/jtsa.12271zbMath1392.62287OpenAlexW2257622683MaRDI QIDQ4606959

T. L. Yates, Liudas Giraitis, George Kapetanios

Publication date: 9 March 2018

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

Full work available at URL: http://qmro.qmul.ac.uk/xmlui/handle/123456789/29584

zbMATH Keywords

random coefficient modelstime varying estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Dynamic stochastic general equilibrium theory (91B51)

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