alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …