Norming Rates and Limit Theory for Some Time-Varying Coefficient Autoregressions
Year of publication: |
2013-09
|
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Authors: | Lieberman, Offer ; Phillips, Peter C.B. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Autoregression | Consistency | Nonlinear diffusion | Nonstationarity | Similarity | Small sigma approximation | Stochastic unit root | Time-varying coefficients |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Time Series Analysis (November 2014), 35(6): 592-623 The price is None Number 1916 48 pages |
Classification: | C22 - Time-Series Models |
Source: |
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