Series Estimation of Stochastic Processes: Recent Developments and Econometric Applications
Year of publication: |
2012-09
|
---|---|
Authors: | Phillips, Peter C.B. ; Liao, Zhipeng |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Cointegrated system | HAC estimation | Instrumental variables | Lasso regression | Karhunen-Loeve representation | Long-run variance | Reproducing kernel Hilbert space | Oracle effciency | Orthonormal system | Trend basis |
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