Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
Degui Li, Peter C. B. Phillips, Jiti Gao
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Degui ; Phillips, Peter C. B. ; Gao, Jiti |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 2, p. 607-632
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| Subject: | Cointegration | FM-kernel estimation | Generalized Wald test | Global rotation | Kernel degeneracy | Local rotation | Super-consistency | Time-varying coefficients | Kointegration | Schätztheorie | Estimation theory | Nichtparametrische Schätzung | Nonparametric estimation | Zeitreihenanalyse | Time series analysis | Regressionsanalyse | Regression analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.10.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439572