Specification tests for time-varying coefficient models

DOI10.1016/j.jeconom.2022.08.001OpenAlexW4296770359MaRDI QIDQ6108274

Liangjun Su, Xia Wang, Yongmiao Hong, Zhonghao Fu

Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.08.001

zbMATH Keywords

stochastic processtime-varying coefficientnonparametric estimationsmooth functiondependent wild bootstrap

Mathematics Subject Classification ID

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

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