The distribution of rolling regression estimators

DOI10.1016/j.jeconom.2022.12.001OpenAlexW3080812163MaRDI QIDQ6108308

Zong-Wu Cai, Ted Juhl

Publication date: 29 June 2023

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

Full work available at URL: http://www2.ku.edu/~kuwpaper/2020Papers/202013.pdf

zbMATH Keywords

nonstationarynonparametric estimationparameter instabilityrolling regressionsuniform confidence intervals

Mathematics Subject Classification ID

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

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