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In this paper, we propose a kernel-type estimator for the local characteristic function of locally stationary processes. Under weak moment conditions, we prove joint asymptotic normality for local empirical characteristic functions. For time-varying linear processes, we establish a central limit...
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We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional … is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid …
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