Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

DOI10.1080/07474938.2019.1624402zbMath1490.62281OpenAlexW2952685933MaRDI QIDQ5860972

Ying Wang, Yundong Tu

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1624402

zbMATH Keywords

kernel methodadaptive estimationasset marketheteroskedasticityfiscal policyfunctional coefficients

Mathematics Subject Classification ID

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

Related Items

Nonparametric inference for quantile cointegrations with stationary covariates, LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION, Estimation for double-nonlinear cointegration

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