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Semiparametric model averaging of ultra-high dimensional time series
Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - 2015
auto-regression) functions do not make significant contribution to estimating the joint multivariate regression function … regressors which have significant effects on estimating the multivariate regression function and predicting the future values of …
Persistent link: https://www.econbiz.de/10011343005
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Nonparametric regression for locally stationary time series
Vogt, Michael - 2012
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We introduce a kernel-based method to estimate the...
Persistent link: https://www.econbiz.de/10009614397